Two-step estimation of the volatility functions in diffusion models with empirical applications
Xu-Guo Ye, Jin-Guan Lin, Yan-Yong Zhao, Hong-Xia Hao
| Year of publication: |
September 2015
|
|---|---|
| Authors: | Ye, Xu-Guo ; Lin, Jin-Guan ; Zhao, Yan-Yong ; Hao, Hong-Xia |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 33.2015, p. 135-159
|
| Subject: | Volatility function | Diffusion models | Nonparametric estimation | Two-step estimation | High-frequency data | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Innovationsdiffusion | Innovation diffusion | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556861