Simulation of leveraged ETF volatility using nonparametric density estimation
Matthew Ginley, David W. Scott, Katherine E. Ensor (Department of Statistics, Rice University, Houston, TX, USA)
| Year of publication: |
November 2015
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|---|---|
| Authors: | Ginley, Matthew ; Scott, David W. ; Ensor, Katherine B. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 5, p. 457-479
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| Subject: | Nonparametric Density Estimation | Exchange Traded Fund | Realized Volatility | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Indexderivat | Index derivative | Statistische Verteilung | Statistical distribution | Simulation | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2015.55039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011440276