Jump-robust volatility estimation using dynamic dual-domain integration method

DOI10.1080/03610926.2019.1650183OpenAlexW2969188265MaRDI QIDQ5079475

Xu-Guo Ye, Yan-Yong Zhao

Publication date: 27 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1650183

zbMATH Keywords

time domainvolatility estimationshort interest ratestate domaindynamic integration

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics (62-XX) Diffusion processes (60J60)

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