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Nonlinear recursive estimation of volatility via estimating functions

✍ Scribed by M. Ghahramani; A. Thavaneswaran

Book ID: 113757516
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 200 KB
Volume: 142
Category: Article
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2011.07.006

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Volatility plays an important role in portfolio management and option pricing. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic process [S.J. Taylor, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005;