scientific article; zbMATH DE number 5944098
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Publication:3090322
Research exposition (monographs, survey articles) pertaining to statistics (62-02) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Spot volatility estimation using delta sequences
- One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem
- Estimating spot volatility with high-frequency financial data
- Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation
- scientific article; zbMATH DE number 5688778 (Why is no real title available?)
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Nonparametric Bayesian volatility learning under microstructure noise
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