Estimation of Stochastic Volatility Models by Nonparametric Filtering
Year of publication: |
2010-01-10
|
---|---|
Authors: | Kanaya, Shin ; Kristensen, Dennis |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Realized spot volatility | stochastic volatility | kernel estimation | nonparametric | semiparametric |
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