Non-parametric volatility estimation in continuous time

zbMath1272.62068MaRDI QIDQ367547

Luiz Koodi Hotta, Neale A. El-Dash, Aluísio S. Pinheiro

Publication date: 16 September 2013

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

waveletsnonparametric curve estimationvolatility estimationhigh-frequency financial series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

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