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~institution:"School of Economics and Management, University of Aarhus"
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subject:"realized volatility"
(38 results)
1
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
Kristensen, Dennis
-
School of Economics and Management, University of Aarhus
-
2007
volatility. We show con- sistency and asymptotic normality of the kernel smoothed
realised
volatility
and the filtered spot …
Persistent link: https://www.econbiz.de/10005198857
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