Recursive computation of piecewise constant volatilities
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- repec:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-017-0288-1 is not listed on IDEAS
- Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
- repec:bla:jorssb:v:79:y:2017:i:4:p:1207-1227 is not listed on IDEAS
More about this item
KeywordsVolatility; Stock returns; Heteroskedasticity;
StatisticsAccess and download statistics
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