Efficient volatility estimation in a two‐factor model

DOI10.1111/SJOS.12431zbMath1453.62706arXiv1811.10241OpenAlexW2989126392MaRDI QIDQ5136965

O. Féron, Marc Hoffmann, Pierre Gruet

Publication date: 30 November 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.10241

zbMATH Keywords

discrete observationselectricity market modelingfinancial statistics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

This page was built for publication: Efficient volatility estimation in a two‐factor model