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Search: subject:"multiple observations"
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Sobolev spaces
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multiple observations
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Hlavka, Zdenek
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Hlávka, Zdeněk
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Liu, Zhi
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Finance and stochastics
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Jump-robust estimation of volatility with simultaneous presence of microstructure noise and
multiple
observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
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2
Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk
;
Peésta, Michal
-
2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10010274279
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3
Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlavka, Zdenek
;
Pesta, Michal
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
,
multiple
observations
, covariance structure, option price JEL classification: C10, C13, C14, C20, C88, G13 Let Yt(K,T) denote …
Persistent link: https://www.econbiz.de/10005652754
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