Variance reduction approach for the volatility over a finite-time horizon
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Publication:5079915
DOI10.1080/03610926.2020.1797803OpenAlexW3044213411MaRDI QIDQ5079915
Qicheng Zhao, Zheng Sun, You-You Chen, Yu Ping Song
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1797803
diffusion processhigh frequency datavolatility functionshort-term interest ratedouble kernel estimator
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