摘要翻译:
本文提出了一种新的估计随机波动率及其波动率的简单方法。该方法既适用于断面数据,也适用于时间序列数据。而且,这种方法不需要波动率数据序列。
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英文标题:
《A note on estimating stochastic volatility and its volatility: a new
simple method》
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作者:
Moawia Alghalith
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
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PDF链接:
https://arxiv.org/pdf/1212.0380