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Search: subject:"Multi-step regularization"
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Microstructure
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Multi-step regularization
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Nonparametric estimation
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Spot volatility
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Ogawa, S.
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Sanfelici, S.
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Facoltà di Economia, Università degli Studi di Parma
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An improved two-step regularization scheme for spot volatility estimation
Sanfelici, S.
;
Ogawa, S.
-
Facoltà di Economia, Università degli Studi di Parma
-
2008
the presence of the so-called microstructure noise. In [16] a scheme based on the technique of
multi-step
regularization
…
Persistent link: https://www.econbiz.de/10005772839
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