Market-based estimation of stochastic volatility models
Yacine Aït-Sahalia, Dante Amengual, Elena Manresa
| Year of publication: |
August 2015
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|---|---|
| Authors: | Aït-Sahalia, Yacine ; Amengual, Dante ; Manresa, Elena |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 418-435
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| Subject: | HJM approach | Variance swaps | Maximum likelihood estimation | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Swap | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499700