Optimal kernel estimation of spot volatility of stochastic differential equations
Author:
Funder
National Science Foundation
Publisher
Elsevier BV
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference16 articles.
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3. O. Barndorff-Nielsen, A. Veraart, Stochastic volatility of volatility in continuous time, CREATES Research Paper 25, 2009.
4. Non-parametric estimation of a multivariate probability density;Epanechnikov;Theory Probab. Appl.,1969
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