Recursive computation of piecewise constant volatilities
From MaRDI portal
Publication:1927142
DOI10.1016/j.csda.2010.06.027zbMath1254.91751MaRDI QIDQ1927142
Christian Höhenrieder, Laurie Davies, Walter Kramer
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.06.027
62G08: Nonparametric regression and quantile regression
62-04: Software, source code, etc. for problems pertaining to statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Separation theorems for the extrema of best piecewise monotonic approximations to successive data, Multiscale Change Point Inference, Multiscale Quantile Segmentation, On the online estimation of local constant volatilities, FDR-control in multiscale change-point segmentation, Fourier methods for analyzing piecewise constant volatilities, Multiscale blind source separation, A binary search algorithm for univariate data approximation and estimation of extrema by piecewise monotonic constraints, Multiscale change-point segmentation: beyond step functions
Uses Software
Cites Work
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- Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
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