Robust volatility estimation with and without the drift parameter
Muneer Shaik, S. Maheswaran
| Year of publication: |
2019
|
|---|---|
| Authors: | Shaik, Muneer ; Maheswaran, S. |
| Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 17.2019, 1, p. 57-91
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| Subject: | Robust volatility modeling | Extreme value estimators | Radon Nikodym derivative | Brownian motion | Drawdown | Absolute returns | Volatilität | Volatility | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Schätzung | Estimation | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40953-018-0129-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012418637