Tracking volatility
DOI10.1007/S11122-005-0026-2zbMATH Open1201.91227DBLPjournals/poit/GoldentayerKL05OpenAlexW2912204687WikidataQ57712785 ScholiaQ57712785MaRDI QIDQ2432948FDOQ2432948
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
Recommendations
Inference from stochastic processes and prediction (62M20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
- Generalized autoregressive conditional heteroscedasticity
- Statistical inference for time-inhomogeneous volatility models.
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- ARCH modeling in finance. A review of the theory and empirical evidence
- Optimal global rates of convergence for nonparametric regression
- THE GARCH OPTION PRICING MODEL
- Tracking of signals and its derivatives in Gaussian white noise
- Prediction in dynamic models with time-dependent conditional variances
- On-line tracking of a smooth regression function
- Adaptive de-noising of signals satisfying differential inequalities
Cited In (8)
- Volatility occupation times
- 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)
- Volatility filtering in estimation of kurtosis (and variance)
- Title not available (Why is that?)
- Dissecting the tracking performance of regular and leveraged VIX ETPs
- Title not available (Why is that?)
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