Statistical inference for time-inhomogeneous volatility models

Annals of Statistics

Volumn 32, Issue 2, 2004, Pages 577-602

  Mercurio, Danilo ^a   Spokoiny, Vladimir ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

Author keywords

Adaptive estimation; Local homogeneity; Stochastic volatility model

Indexed keywords

EID: 24344506203     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053604000000102     Document Type: Article

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