Volatility estimation from short time series of stock prices

DOI10.1080/10485252.2013.844805zbMath1290.91188OpenAlexW2072626304MaRDI QIDQ5419471

Nikolai G. Dokuchaev

Publication date: 6 June 2014

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

Full work available at URL: http://hdl.handle.net/20.500.11937/40232

zbMATH Keywords

nonparametric estimationeconometricsvolatility estimationshort time series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Economic time series analysis (91B84)

Related Items (2)

Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

Cites Work

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• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Power variation and stochastic volatility: a review and some new results
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales

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