Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695)
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scientific article
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| English | Bias-optimal vol-of-vol estimation: the role of window overlapping |
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Bias-optimal vol-of-vol estimation: the role of window overlapping (English)
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17 June 2022
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stochastic volatility of volatility
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high-frequency data
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bias optimization
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CIR model
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CKLS model
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0.7699695229530334
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0.7529658079147339
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0.7313985824584961
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0.7271986603736877
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0.725615382194519
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