NONPARAMETRIC STOCHASTIC VOLATILITY
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Publication:4554602
DOI10.1017/S0266466617000457zbMath1406.62109OpenAlexW3122709809MaRDI QIDQ4554602
Federico M. Bandi, Roberto Renò
Publication date: 9 November 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466617000457
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)
Related Items (7)
Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Bootstrapping Laplace transforms of volatility ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Spot volatility estimation using delta sequences ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ \(\beta\) in the tails
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