Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485)
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scientific article; zbMATH DE number 6502628
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| English | Estimation of integrated volatility of volatility with applications to goodness-of-fit testing |
scientific article; zbMATH DE number 6502628 |
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Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (English)
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30 October 2015
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stochastic volatility model
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central limit theorem
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estimation
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goodness-of-fit testing
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high-frequency observations
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model validation
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stable convergence
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0.8431809544563293
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0.827734112739563
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0.8240426778793335
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0.8125128149986267
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0.805413007736206
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