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Optimal nonparametric range-based volatility estimation - MaRDI portal

Optimal nonparametric range-based volatility estimation (Q6193007)

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scientific article; zbMATH DE number 7803927
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English
Optimal nonparametric range-based volatility estimation
scientific article; zbMATH DE number 7803927

    Statements

    title
    Optimal nonparametric range-based volatility estimation (English)
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    author
    Tim Bollerslev
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    Jia Li
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    Qiyuan Li
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    publication date
    13 February 2024
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    zbMATH Keywords
    spot volatility
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    nonparametric estimation
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    range-based estimation
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    high-frequency data
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    decision theory
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    cites work
    Q3150773
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    Volatility is rough
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    Q4766399
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    Volatility coupling
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    Q3707111
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    Q3692624
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    Q3288488
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    Q3579593
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    Asymptotic Statistics
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    Identifiers

    zbMATH DE Number
    7803927
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