Bridge homogeneous volatility estimators
DOI10.1080/14697688.2013.819985zbMATH Open1294.91197OpenAlexW2079611333MaRDI QIDQ2879014FDOQ2879014
Author name not available (Why is that?), D. Sornette, Francesco Corsi, Alexander I. Saichev
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4430/1/bridgeQuantFin_3_rev-final.pdf
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Brownian motion (60J65) Stochastic models in economics (91B70)
Cites Work
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Modelling microstructure noise with mutually exciting point processes
- Estimating variance from high, low and closing prices
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