Two-step estimation of the volatility functions in diffusion models with empirical applications
Year of publication: |
September 2015
|
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Authors: | Ye, Xu-Guo ; Lin, Jin-Guan ; Zhao, Yan-Yong ; Hao, Hong-Xia |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 33.2015, p. 135-159
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Subject: | Volatility function | Diffusion models | Nonparametric estimation | Two-step estimation | High-frequency data | Schätztheorie | Estimation theory | Volatilität | Volatility | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis |
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