Estimation and prediction of a non-constant volatility

DOI10.1007/S10690-007-9044-YzbMATH Open1151.91469OpenAlexW2143457973WikidataQ57712773 ScholiaQ57712773MaRDI QIDQ2471733FDOQ2471733

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

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• Non-parametric volatility estimation in continuous time
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zbMATH Keywords

best linear predictorBlack-Scholes formulaapproximating and forecasting volatility

Mathematics Subject Classification ID

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

Uses Software

• AWS

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