Tracking volatility

DOI10.1007/S11122-005-0026-2MaRDI QIDQ2432948zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Fima Klebaner, Lev Goldentayer, R. Liptser

Publication date 26 October 2006

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11122-005-0026-2

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• scientific article; zbMATH DE number 1927186
• Non-parametric estimation of historical volatility
• Nonlinear filter estimation of volatility
• Volatility filtering in estimation of kurtosis (and variance)
• Volatility research based on the modified unscented Kalman filter

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Adaptive de-noising of signals satisfying differential inequalities
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• On-line tracking of a smooth regression function
• Optimal global rates of convergence for nonparametric regression
• Prediction in dynamic models with time-dependent conditional variances
• Statistical inference for time-inhomogeneous volatility models.
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• Tracking of signals and its derivatives in Gaussian white noise

Cited in

(8)

• Volatility occupation times
• Dissecting the tracking performance of regular and leveraged VIX ETPs
• scientific article; zbMATH DE number 5198651 (Why is no real title available?)
• Estimation and prediction of a non-constant volatility
• Spiking the Volatility Punch
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes)
• scientific article; zbMATH DE number 1927186 (Why is no real title available?)
• Volatility filtering in estimation of kurtosis (and variance)

This page was built for publication: Tracking volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2432948)