Extracting volatility signal using maximum a posteriori estimation (Q1619844)
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scientific article; zbMATH DE number 6978379
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extracting volatility signal using maximum a posteriori estimation |
scientific article; zbMATH DE number 6978379 |
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Extracting volatility signal using maximum a posteriori estimation (English)
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13 November 2018
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hidden Markov model
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volatility
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maximum a posteriori estimator
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IDM algorithm
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Laplace process
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realized volatility
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