Market-based estimation of stochastic volatility models
Year of publication: |
August 2015
|
---|---|
Authors: | Aït-Sahalia, Yacine ; Amengual, Dante ; Manresa, Elena |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 418-435
|
Subject: | HJM approach | Variance swaps | Maximum likelihood estimation | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Swap | Schätzung | Estimation |
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