Sanfelici, S.; Ogawa, S. - Facoltà di Economia, Università degli Studi di Parma - 2008
We are concerned with the problem of parameter estimation in Finance, namely the estimation of the spot volatility in the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization was presented. It was shown that this scheme can work in...