Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
Year of publication: |
2007-05-11
|
---|---|
Authors: | Kristensen, Dennis |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Diffusion | in-fill asymptotics | kernel estimation | nonparametric | spot volatility | realised volatility |
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