Parametric and Nonparametric Volatility Measurement

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Parametric and Nonparametric Volatility Measurement (2002)

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by Torben G. Andersen , Tim Bollerslev , Francis X. Diebold , Neil Shephard

Citations:

156 - 26 self

BibTeX

@MISC{Andersen02parametricand,
    author = {Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Neil Shephard},
    title = {Parametric and Nonparametric Volatility Measurement},
    year = {2002}
}

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Abstract

Keyphrases

nonparametric volatility measurement