On a real-time scheme for the estimation of volatility
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Publication:5421244
DOI10.1515/mcma.2007.006zbMath1219.91160OpenAlexW1987941263MaRDI QIDQ5421244
Koji Wakayama, Shigeyoshi Ogawa
Publication date: 22 October 2007
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2007.006
Monte Carlo methods (65C05) Financial applications of other theories (91G80) Numerical solutions to stochastic differential and integral equations (65C30) Portfolio theory (91G10)
Related Items (5)
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ Real-time estimation scheme for the spot cross volatility of jump diffusion processes ⋮ A central limit theorem for the functional estimation of the spot volatility ⋮ Real-time scheme for the volatility estimation in the presence of microstructure noise
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