Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise
Year of publication: |
2013-03-23
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Authors: | Yu, Chao ; Fang, Yue ; Zhao, Xujie ; Zhang, Bo |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Yu, Chao and Fang, Yue and Zhao, Xujie and Zhang, Bo (2013): Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. |
Classification: | C13 - Estimation ; c58 |
Source: | BASE |
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