A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (Q3523569)
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scientific article; zbMATH DE number 5320120
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| English | A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA |
scientific article; zbMATH DE number 5320120 |
Statements
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (English)
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3 September 2008
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stochastic volatility models
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volatility estimation
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nonlinear filtering theory
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reference probability approach
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filter approximations
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0.824462354183197
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0.8027045130729675
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0.802004873752594
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0.7868523001670837
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0.7806257009506226
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