Robust nonparametric estimation for the volatility of financial market
Chunyu Kao, Yuping Song
| Year of publication: |
2023
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|---|---|
| Authors: | Kao, Chunyu ; Song, Yuping |
| Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 1, Art.-No. 2250021, p. 1-19
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| Subject: | diffusion coefficient | Diffusion model with jumps | high frequency financial data | one-step local M estimation | threshold function | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Innovationsdiffusion | Innovation diffusion | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786322500219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014251158