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Fourier-Malliavin Volatility Estimation : Theory and Practice / Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici
| Fourier-Malliavin Volatility Estimation : Theory and Practice / Maria Elvira Mancino, Maria Cristina Recchioni, Simona Sanfelici |
| Autore | Mancino, Maria Elvira |
| Pubbl/distr/stampa | Cham, : Springer, 2017 |
| Descrizione fisica | X, 135 p. : ill. ; 24 cm |
| Altri autori (Persone) |
Recchioni, Maria Cristina
Sanfelici, Simona |
| Soggetto topico |
42B05 - Fourier series and coefficients in several variables [MSC 2020]
62H12 - Estimation in multivariate analysis [MSC 2020] 42A38 - Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type [MSC 2020] 62P20 - Applications of statistics to economics [MSC 2020] 62G05 - Nonparametric estimation [MSC 2020] 62P05 - Applications of statistics to actuarial sciences and financial mathematics [MSC 2020] 62F12 - Asymptotic properties of parametric estimators [MSC 2020] |
| Soggetto non controllato |
Convolution
Fourier analysis High-frequency data Leverage Microstructure Noise Multivariate Volatility Non-parametric estimation Science as a business Volatility of Volatility |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123445 |
Mancino, Maria Elvira
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| Cham, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Lévy matters 4. : estimation for discretely observed Lévy processes / Denis Belomestny ... [et al.]
| Lévy matters 4. : estimation for discretely observed Lévy processes / Denis Belomestny ... [et al.] |
| Pubbl/distr/stampa | Cham, : Springer, 2015 |
| Descrizione fisica | XV, 286 p. ; 24 cm |
| Soggetto topico |
60J10 - Markov chains (discrete-time Markov processes on discrete state spaces) [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60G10 - Stationary stochastic processes [MSC 2020] 60G18 - Self-similar stochastic processes [MSC 2020] 60F05 - Central limit and other weak theorems [MSC 2020] 62M05 - Markov processes: estimation; hidden Markov models [MSC 2020] 60G52 - Stable stochastic processes [MSC 2020] 62G05 - Nonparametric estimation [MSC 2020] 60G70 - Extreme value theory; extremal stochastic processes [MSC 2020] 62F12 - Asymptotic properties of parametric estimators [MSC 2020] 91B84 - Economic time series analysis [MSC 2020] |
| Soggetto non controllato |
Adaptive estimation
Estimation with discrete observations Non-parametric estimation Parametric estimation of Lévy processes Spectral estimators |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Lévy matters IV. |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0101402 |
| Cham, : Springer, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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