Estimation of the volatility persistence in a discretely observed diffusion model (Q936399)
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scientific article; zbMATH DE number 5311373
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the volatility persistence in a discretely observed diffusion model |
scientific article; zbMATH DE number 5311373 |
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Estimation of the volatility persistence in a discretely observed diffusion model (English)
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13 August 2008
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stochastic volatility models
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discrete sampling
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high frequency data
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fractional Brownian motion
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scaling exponent
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adaptive estimation of quadratic functionals
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wavelet methods
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0.92542773
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0.9241973
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0.9124588
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0.91146886
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0.91117465
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0.90695405
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0.90557504
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