Mixed Semimartingales : Volatility Estimation in the Presence of Rough Noise
Year of publication: |
[2021]
|
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Authors: | Chong, Carsten ; Delerue, Thomas ; Li, Guoying |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Schätztheorie | Estimation theory | Martingal | Martingale | Noise Trading | Noise trading |
Extent: | 1 Online-Ressource (55 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3878809 [DOI] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; c55 ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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