Realised volatility and parametric estimation of Heston SDEs
Robert Azencott, Peng Ren, Ilya Timofeyev
| Year of publication: |
2020
|
|---|---|
| Authors: | Azencott, Robert ; Ren, Peng ; Timofeyev, Ilya |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 3, p. 723-755
|
| Subject: | Heston model | Parameter estimation | Realised volatility | Indirect observability | Volatilität | Volatility | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00427-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518091