Volatility Decomposition and Estimation in Time-Changed Price Models

7 May 2016

Papers citing "Volatility Decomposition and Estimation in Time-Changed Price Models"

2 / 2 papers shown

Title
Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models Timo Dimitriadis Roxana Halbleib Jeannine Polivka Jasper Rennspies S. Streicher Axel Friedrich Wolter 19 0 0 22 Dec 2022
Statistical inference for time-changed Lévy processes via composite characteristic function estimation Denis Belomestny 77 50 0 01 Mar 2010