Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (Q2642802)
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scientific article; zbMATH DE number 5187473
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| English | Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach |
scientific article; zbMATH DE number 5187473 |
Statements
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (English)
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5 September 2007
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consistency
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dependent noise
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discrete observation
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efficiency
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Itô process
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microstructure noise
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observation error
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rate of convergence
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realized volatility
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0.836797833442688
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0.8348535299301147
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0.8280612230300903
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0.8216649293899536
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