Estimating the instantaneous volatility and covariance of risky assets (Q4842350)
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scientific article; zbMATH DE number 780151
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| English | Estimating the instantaneous volatility and covariance of risky assets |
scientific article; zbMATH DE number 780151 |
Statements
Estimating the instantaneous volatility and covariance of risky assets (English)
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27 July 1995
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lognormal diffusion
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point estimate
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volatility estimation
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Mil'stein approximation
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stochastic calculus
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0.7901126742362976
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0.7872254252433777
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0.7717713117599487
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0.7617754936218262
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