Harmonic Analysis Methods for Nonparametric Estimation of Volatility: Theory and Applications

DOI10.1142/9789812774637_0001zbMath1108.62106OpenAlexW3123288294MaRDI QIDQ5487015

Paul Malliavin, Maria Elvira Mancino, Emilio Basrucci

Publication date: 18 September 2006

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812774637_0001

zbMATH Keywords

Brownian semi-martingales

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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