Implied volatility estimation via l1 trend filtering
Year of publication: |
2018
|
---|---|
Authors: | Crespo, Pablo ; Huang, Ta-Cheng |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 26.2018, 1, p. 45-66
|
Subject: | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model |
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