scientific article; zbMATH DE number 1069630

zbMATH Open1090.62564MaRDI QIDQ4356594FDOQ4356594

Authors: Renzo G. Avesani, Pierre R. Bertrand 

Publication date: 21 September 2000

Title of this publication is not available (Why is that?)

Recommendations

• Nonparametric volatility density estimation
• Nonparametric estimation for stochastic volatility models
• Estimation of the instantaneous volatility
• Nonparametric estimation of stochastic volatility models
• Nonparametric estimation of jump diffusion models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Nonparametric volatility density estimation
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

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