Nonparametric Stochastic Volatility
Year of publication: |
2009-03
|
---|---|
Authors: | Bandi, Federico M. ; Reno, Roberto |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | Spot variance | stochastic volatility | jumps in returns | jumps in volatility | leverage effects | risk-return trade-offs | kernel methods | recurrence | market microstructure noise |
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