Estimation and prediction of a non-constant volatility

DOI10.1007/S10690-007-9044-YMaRDI QIDQ2471733zbMATH OpenOpenAlexWikidataFDO

Authors Vyacheslav Abramov, Fima Klebaner

Publication date 18 February 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9044-y

zbMATH Keywords

best linear predictorBlack-Scholes formulaapproximating and forecasting volatility

Mathematics Subject Classification ID

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• Non-parametric volatility estimation in continuous time
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Cites work

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Cited in

(4)

• Forecasting volatility in the presence of model instability
• Nonparametric prediction for the time-dependent volatility of the security price
• Estimating the long rate and its volatility
• Stochastic volatility models including open, close, high and low prices

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Uses Software

• AWS

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