Nonparametric Volatility Estimation on the Real Line from Low Frequency Data

DOI10.1007/3-7908-1701-5_3zbMATH Open1271.62194OpenAlexW174743313MaRDI QIDQ5308587FDOQ5308587

Authors: Markus Reiß 

Publication date: 28 September 2007

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-7908-1701-5_3

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zbMATH Keywords

discrete observationsspectral approximationwarped waveletsscalar diffusion

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cited In (2)

• Nonparametric estimation of volatility function with variable bandwidth parameter
• Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies

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