Localized Realized Volatility Modeling
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Publication:5255678
DOI10.1198/jasa.2010.ap09039zbMath1388.62305OpenAlexW2102525575MaRDI QIDQ5255678
Uta Pigorsch, Ying Chen, Wolfgang Karl Härdle
Publication date: 17 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/series/sfb-649-papers/2009-3/PDF/3.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) Sequential statistical analysis (62L10)
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