Nonparametric Stochastic Volatility
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Publisher
Elsevier BV
Reference23 articles.
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1. A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein–Uhlenbeck process;Algorithmic Finance;2018-06-21
2. Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence;Journal of Business & Economic Statistics;2017-12-21
3. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency;Journal of the American Statistical Association;2017-01-02
4. Price and volatility co-jumps;Journal of Financial Economics;2016-01
5. Spot volatility estimation using delta sequences;Finance and Stochastics;2015-02-20
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