Robust nonparametric estimation for the volatility of financial market
Year of publication: |
2023
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Authors: | Kao, Chunyu ; Song, Yuping |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 1, Art.-No. 2250021, p. 1-19
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Subject: | diffusion coefficient | Diffusion model with jumps | high frequency financial data | one-step local M estimation | threshold function | Volatilität | Volatility | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
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