Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Stefano M. Iacus; Nakahiro Yoshida
| Year of publication: |
2010
|
|---|---|
| Authors: | Iacus, Stefano Maria ; Yoshida, Nakahiro |
| Published in: |
Economic notes : economic review of Banca Monte dei Paschi di Siena. - Oxford : Wiley-Blackwell, ISSN 0391-5026, ZDB-ID 194032-6. - Vol. 39.2010, 1/2, p. 107-127
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Analysis | Mathematical analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Numerisches Verfahren | Numerical analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10008826253