Results 231 to 240 of about 391,951 (282)

Functional Vašiček Model

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka   +4 more
wiley   +1 more source

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee   +2 more
wiley   +1 more source

The Variance-Gamma Product Distribution. [PDF]

open access: yesResults Math
Gaunt RE, Li S, Sutcliffe HL.
europepmc   +1 more source

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