Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Yuping Song, Weijie Hou, Shengyi Zhou
| Year of publication: |
2019
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| Authors: | Song, Yuping ; Hou, Weijie ; Zhou, Shengyi |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 5, p. 1-38
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| Subject: | continuous-time return model | high frequency financial data | Nadaraya-Watson estimator | resistance to sparse design | variance and bias reduction | Schätztheorie | Estimation theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Systematischer Fehler | Bias | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | Finanzmarkt | Financial market | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198377