Bias-optimal vol-of-vol estimation : the role of window overlapping

Giacomo Toscano, Maria Cristina Recchioni

Year of publication:	2022
Authors:	Toscano, Giacomo ; Recchioni, Maria Cristina
Published in:	Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 137-185
Subject:	Bias optimization \| CIR model \| CKLS model \| High-frequency data \| Stochastic volatility of volatility \| Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis \| Systematischer Fehler \| Bias

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