Abstract
Our goal in this chapter is to estimate the spot volatilities σ (1)s , σ (2)s at some specific time s ∈ [0; T]. In addition to that we would like to estimate the spot correlation ρs between the two Gaussian processes C(1) and C(2). If we allow σ to be discontinuous we are additionally interested in estimating the left limits σ (1)s– , σ (2)s– ,ρs–.
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Martin, O. (2019). Estimating Spot Volatility. In: High-Frequency Statistics with Asynchronous and Irregular Data. Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics. Springer Spektrum, Wiesbaden. https://doi.org/10.1007/978-3-658-28418-3_6
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DOI: https://doi.org/10.1007/978-3-658-28418-3_6
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