Variance reduction approach for the volatility over a finite-time horizon
type: Item
instance of: scholarly article
title: Variance reduction approach for the volatility over a finite-time horizon
DOI: 10.1080/03610926.2020.1797803
author: Zheng Sun
author: Qicheng Zhao
author: You-You Chen
author: Yu Ping Song
publication date: 2022-05-30T00:00:00Z
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7533645
zbMATH Keywords: diffusion process
zbMATH Keywords: volatility function
zbMATH Keywords: double kernel estimator
zbMATH Keywords: short-term interest rate
zbMATH Keywords: high frequency data
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610926.2020.1797803
OpenAlex ID: W3044213411
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published in: Communications in Statistics: Theory and Methods
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description: scientific article; zbMATH DE number 7533645