Nonparametric estimation of stochastic volatility models
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Publication:1929062
DOI10.1016/j.econlet.2005.09.009zbMath1254.91758MaRDI QIDQ1929062
Publication date: 7 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2005.09.009
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62G05: Nonparametric estimation
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Cites Work
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- Modeling and Forecasting Realized Volatility