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Sabel, Till [Author] ; Munk, Axel [Degree supervisor]; Dümbgen, Lutz [Degree supervisor]

Simultaneous Confidence Statements about the Diffusion Coefficient of an Itô-Process with Application to Spot Volatility Estimation

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Göttingen: Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2014
Boswijk, Herman Peter [Author]; Zu, Yang [Author]

Adaptive testing for cointegration with nonstationary volatility

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2022

Published in: Journal of business & economic statistics ; 40(2022), 2, Seite 744-755
Sabel, Till [Author] ; Munk, Axel [Contributor]; Dümbgen, Lutz [Contributor]

Simultaneous Confidence Statements about the Diffusion Coefficient of an Ito-Process with Application to Spot Volatility Estimation

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http://hdl.handle.net/11858/00-1735-0000-0022-5F35-2

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Georg-August-Universität Göttingen: eDiss, 2014-07-28
Chong, Carsten [Author]; Hoffmann, Marc [Author]; Liu, Yanghui [Author]; Rosenbaum, Mathieu [Author]; Szymanski, Grégoire [Author]

Statistical Inference for Rough Volatility : Central Limit Theorems

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https://ssrn.com/abstract=4236897

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[S.l.]: SSRN, 2022
Chong, Carsten H. [Author]; Todorov, Viktor [Author]

Volatility of Volatility and Leverage Effect from Options

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https://ssrn.com/abstract=4440172

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[S.l.]: SSRN, [2023]
Kanaya, Shin [Author]; Kristensen, Dennis [Author]

Estimation of stochastic volatility models by nonparametric filtering

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http://hdl.handle.net/10419/130016

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London: Centre for Microdata Methods and Practice (cemmap), 2015
Bibinger, Markus [Author]; Winkelmann, Lars [Author]

Common price and volatility jumps in noisy high-frequency data

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http://hdl.handle.net/10419/103794

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2014
Boswijk, Herman Peter [Author]; Zu, Yang [Author]

Adaptive Testing for Cointegration with Nonstationary Volatility

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http://hdl.handle.net/10419/205333

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Amsterdam and Rotterdam: Tinbergen Institute, 2019
Dare, Wale [Author]; Fengler, Matthias [Author]

Global estimation of realized spot volatility in the presence of price jumps

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St. Gallen: School of Economics and Political Science, Department of Economics, University of St.Gallen, [2017]

Published in: Universität St. Gallen: Discussion paper ; 2017,15
Dare, Wale [Author]

On market efficiency and volatility estimation

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http://www1.unisg.ch/www/edis.nsf/SysLkpByIdentifier/4748/$FILE/dis4748.pdf

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St. Gallen, 2018

Published in: Dissertationen / Universität St. Gallen ; No. 4748
Schmidt-Hieber, Anselm Johannes [Author] ; Munk, Axel [Degree supervisor]; Dümbgen, Lutz [Degree supervisor]

Nonparametric Methods in Spot Volatility Estimation

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Göttingen: Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2011
Ghosh, Anisha [Author]; Linton, Oliver Bruce [Author]

Estimation with mixed data frequencies: A bias-correction approach

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http://hdl.handle.net/10419/211158

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London: Centre for Microdata Methods and Practice (cemmap), 2019
Mancino, Maria Elvira [Author]; Sanfelici, Simona [Author]

Nonparametric Malliavin-Monte Carlo computation of hedging Greeks

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Basel: MDPI, 2020
Comte, F. [Author]; Lacour, C. [Author]; Rozenholc, Y. [Author]

Adaptive estimation of the dynamics of a discrete time stochastic volatility model

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Open Access

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2009
Corradi, Valentina [Author]; Swanson, Norman [Author]

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

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http://hdl.handle.net/10419/59484

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New Brunswick, NJ: Rutgers University, Department of Economics, 2011
Cheng, Ming-Yen [Author]; Fan, Jianqing [Author]; Spokoiny, Vladimir [Author]

Dynamic nonparametric filtering with application to volatility estimation

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Weierstrass Institute for Applied Analysis and Stochastics publication server, 2003
Audrino, Francesco [Author]; Bühlmann, Peter [Author]

Volatility estimation with functional gradient descent for very high-dimensional financial time series

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https://hdl.handle.net/20.500.11850/145324

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Seminar für Statistik, Eidgenössische Technische Hochschule (ETH), 2001

Published in: Research Report / Seminar für Statistik, Eidgenössische Technische Hochschule (ETH), 99
Audrino, Francesco [Author] ; Bühlmann, Peter [Contributor]; Embrechts, Paul [Contributor]

Statistical methods for high-multivariate financial time series

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https://hdl.handle.net/20.500.11850/146169

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s.n., 2002
Chen, Ying [Author]; Härdle, Wolfgang [Author]; Jeong, Seok-Oh [Author]

Nonparametric Risk Management With Generalized Hyperbolic Distributions

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Weierstrass Institute for Applied Analysis and Stochastics publication server, 2008
Chen, Ying [Author]; Härdle, Wolfgang Karl [Author]; Jeong, Seok-Oh [Author]

Nonparametric risk management with generalized hyperbolic distributions

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http://hdl.handle.net/10419/25020

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2005

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