Volatility estimation by combining stock price data and option data
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Publication:896580
DOI10.4310/SII.2013.V6.N4.A2zbMath1326.91036MaRDI QIDQ896580
Publication date: 10 December 2015
Published in: Statistics and Its Interface (Search for Journal in Brave)
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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