Time inhomogeneous multiple volatility modelling
Year of publication: |
2001
|
---|---|
Authors: | Härdle, Wolfgang ; Herwartz, Helmut ; Spokoiny, Vladimir G. |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | stochastic volatility model | adaptive estimation | local homogeneity |
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