Volatility estimation from short time series of stock prices

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Volatility estimation from short time series of stock prices

We consider estimation of the historicalvolatility of stock prices. It is assumed that the stock prices arerepresented as time series formed as samples of the solution of astochastic differential equation with random and time varyingparameters; these parameters are not observable directly and haveun...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Taylor & Francis 2013
Subjects:	volatility - estimation non-parametric estimation short time series econometrics
Online Access:	http://hdl.handle.net/20.500.11937/40232

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