Tracking volatility (Q2432948)

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scientific article

Language	Label	Description	Also known as
English	Tracking volatility	scientific article

Statements

scholarly article

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Tracking volatility (English)

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Fima C. Klebaner

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Lev Goldentayer

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Robert Sh. Liptser

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Problems of Information Transmission

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publication date

26 October 2006

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11122-005-0026-2

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Prediction in dynamic models with time-dependent conditional variances

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The Pricing of Options and Corporate Liabilities

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Generalized autoregressive conditional heteroscedasticity

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THE GARCH OPTION PRICING MODEL

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ARCH modeling in finance. A review of the theory and empirical evidence

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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On-line tracking of a smooth regression function

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Statistical inference for time-inhomogeneous volatility models.

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Optimal global rates of convergence for nonparametric regression

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Adaptive de-noising of signals satisfying differential inequalities

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Tracking of signals and its derivatives in Gaussian white noise

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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DBLP publication ID

journals/poit/GoldentayerKL05

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10.1007/S11122-005-0026-2

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Sitelinks

Mathematics(1 entry)

mardi Publication:2432948

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