Bias-optimal vol-of-vol estimation: the role of window overlapping

DOI10.1007/s10203-021-00349-4zbMath1492.91360arXiv2004.04013OpenAlexW3190329000MaRDI QIDQ2145695

Giacomo Toscano, Maria Cristina Recchioni

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.04013

zbMATH Keywords

high-frequency dataCIR modelCKLS modelbias optimizationstochastic volatility of volatility

Mathematics Subject Classification ID

Financial markets (91G15)

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