A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
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Publication:3523569
DOI10.1142/S021902490100095XzbMath1154.91610OpenAlexW2087608185MaRDI QIDQ3523569
Wolfgang J. Runggaldier, Rüdiger Frey
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902490100095x
stochastic volatility modelsnonlinear filtering theoryvolatility estimationreference probability approachfilter approximations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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Cites Work
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- A filtering problem with counting observations: approximation with error bounds
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