Dynamic integration of time- And state-domain methods for volatility estimation

Journal of the American Statistical Association

Volumn 102, Issue 478, 2007, Pages 618-631

  Fan, Jianqing ^a   Fan, Yingying ^b   Jiang, Jiancheng ^b,c  

^a Department of Finance ^*  (United States)

^b Princeton University   (United States)

^c UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

Author keywords

Bayes; Dynamical integration; Smoothing; State domain; Time domain; Volatility

Indexed keywords

EID: 34250695929     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214507000000176     Document Type: Article

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