Implied volatility estimation via l1 trend filtering
Pablo Crespo and Ta-Cheng Huang
| Year of publication: |
2018
|
|---|---|
| Authors: | Crespo, Pablo ; Huang, Ta-Cheng |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2018, 1, p. 45-66
|
| Subject: | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011968672