Realized density estimation using intraday prices
Year of publication: |
2020
|
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Authors: | Arnerić, Josip |
Published in: |
Croatian review of economic, business and social statistics : CREBSS. - Warsaw : De Gruyter Open, ISSN 2459-5616, ZDB-ID 2935859-0. - Vol. 6.2020, 1, p. 1-9
|
Subject: | bandwidth selection | intraday prices | Kernel density | realized moments | sampling frequency selection | two-time scale estimator | Schätztheorie | Estimation theory | Volatilität | Volatility | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.2478/crebss-2020-0001 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; c55 ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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