Non-parametric volatility estimation in continuous time

MaRDI QIDQ367547zbMATH OpenFDO

Authors Neale A. El-Dash, Luiz Koodi Hotta, Aluísio Pinheiro

Publication date 16 September 2013

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

waveletsnonparametric curve estimationvolatility estimationhigh-frequency financial series

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(17)

• scientific article; zbMATH DE number 5944098 (Why is no real title available?)
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• On the online estimation of local constant volatilities
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