Bias-optimal vol-of-vol estimation : the role of window overlapping
Year of publication: |
2022
|
---|---|
Authors: | Toscano, Giacomo ; Recchioni, Maria Cristina |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 137-185
|
Subject: | Bias optimization | CIR model | CKLS model | High-frequency data | Stochastic volatility of volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Systematischer Fehler | Bias | Schätztheorie | Estimation theory |
-
Estimating stochastic volatility under the assumption of stochastic volatility of volatility
Alghalith, Moawia, (2020)
-
Are long-run output growth rates falling?
Li, Mengheng, (2018)
-
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus, (2014)
- More ...
-
Bias-Optimal Vol-of-Vol Estimation : The Role of Window Overlapping
Toscano, Giacomo, (2020)
-
Is the Variance Swap Rate Affine in the Spot Variance? Evidence From S&P500 Data
Mancino, Maria Elvira, (2020)
-
Rate-Efficient Asymptotic Normality for the Fourier Estimator of the Leverage Process
Toscano, Giacomo, (2020)
- More ...