High-frequency volatility of volatility estimation free from spot volatility estimates (Q4619498)

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scientific article; zbMATH DE number 7013621
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High-frequency volatility of volatility estimation free from spot volatility estimates
scientific article; zbMATH DE number 7013621

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    High-frequency volatility of volatility estimation free from spot volatility estimates (English)
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    6 February 2019
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    stochastic volatility
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    volatility of volatility
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    high-frequency data
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    microstructure
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    Fourier analysis
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