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Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach

With the availability of high-frequency financial data, nonparametric estimation of the volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in... Full description

1st Person: Zhang, Lan
Source: in Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability Vol. 12, No. 6 (2006), p. 1019-1043
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Type of Publication: Article
Language: English
Published: 2006
Keywords: research-article
Dependent noise
Discrete observation
Itô process
Microstructure noise
Observation error
Rate of convergence
Realized volatility
Online: Volltext
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