Non-parametric estimation of historical volatility

DOI10.1080/14697680400008692zbMath1409.62215OpenAlexW2088718323MaRDI QIDQ4610250

Peter J. Thomson, John A. Randal, Martin T. Lally

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400008692

zbMATH Keywords

volatilityfinancial time seriesnonparametric estimation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (1)

On the online estimation of local constant volatilities

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