Estimating the instantaneous volatility and covariance of risky assets

DOI10.1002/ASM.3150110107zbMath0821.62047OpenAlexW2048639718MaRDI QIDQ4842350

Marc Chesney, Robert J. Elliott

Publication date: 27 July 1995

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150110107

zbMATH Keywords

stochastic calculuspoint estimatevolatility estimationlognormal diffusionMil'stein approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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