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

Download
Text (Adobe PDF, 272.1Kb)
Thumbnail
Open access
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
Publication status
published
External links
Search via SFX
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)
More
Show all metadata
ETH Bibliography
yes
Altmetrics