Spot volatility estimation for high-frequency data
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Publication:660058
DOI10.4310/SII.2008.v1.n2.a5zbMath1230.91192OpenAlexW2130580220MaRDI QIDQ660058
Publication date: 25 January 2012
Published in: Statistics and Its Interface (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/sii.2008.v1.n2.a5
asymptotic normalitystock pricelong memorykernel estimatorCIR modelconstant elasticity of diffusionextreme distribution
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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