Volatility and risk estimation with linear and nonlinear methods based on high frequency data

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Author
Dettling, Marcel
Bühlmann, Peter Lukas
Date
2001
Type
  • Working Paper
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-004218133
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Journal / series
Research report / Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Volume
96
Publisher
Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Subject
VOLATILITÄT (FINANZEN); VORHERSAGETHEORIE (WAHRSCHEINLICHKEITSRECHNUNG); VOLATILITY (FINANCE); PREDICTION THEORY (PROBABILITY THEORY)
Organisational unit
02537 - Seminar für Statistik (SfS) / Seminar for Statistics (SfS)
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