Volatility estimation with functional gradient descent for very high-dimensional financial time series
Open access
Date
2001Type
- Working Paper
ETH Bibliography
yes
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https://doi.org/10.3929/ethz-a-004218106Publication status
publishedJournal / series
Research Report / Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)Volume
Publisher
Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)Subject
VOLATILITÄT (FINANZEN); ZEITREIHENANALYSE (MATHEMATISCHE STATISTIK); NICHTPARAMETRISCHE SCHÄTZUNG (MATHEMATISCHE STATISTIK); VOLATILITY (FINANCE); TIME SERIES ANALYSIS (MATHEMATICAL STATISTICS); NONPARAMETRIC ESTIMATION (MATHEMATICAL STATISTICS)Organisational unit
02537 - Seminar für Statistik (SfS) / Seminar for Statistics (SfS)
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ETH Bibliography
yes
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