NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS (Q5176864)
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scientific article; zbMATH DE number 6411236
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS |
scientific article; zbMATH DE number 6411236 |
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NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS (English)
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4 March 2015
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high-frequency data
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jump
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kernel estimation
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threshold
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time dependent
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volatility
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