Volatility estimation with functional gradient descent for very high-dimensional financial time series

Metadata Label Value
Author(s): Audrino, Francesco, Bühlmann, Peter Lukas
Publisher: Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Citation:

Audrino, Francesco and Bühlmann, Peter Lukas. Volatility estimation with functional gradient descent for very high-dimensional financial time series. Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) (2001). http://dx.doi.org/10.3929/ethz-a-004218106

Document Type: Reports  
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Metadata Description
Title Volatility estimation with functional gradient descent for very high-dimensional financial time series
Author(s) Audrino, Francesco
Bühlmann, Peter Lukas
Publication Place Zürich
Publisher Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Publication Date 2001
Series Research report / Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) No. 99
Language English
DOI http://dx.doi.org/10.3929/ethz-a-004218106
Subject(s) Mathematical Statistics
Keyword(s) VOLATILITY
STOCK EXCHANGE QUOTATIONS
TIME SERIES ANALYSIS
MATHEMATICAL STATISTICS
NONPARAMETRIC ESTIMATION
Organisational Unit Seminar for Statistics
Online Publication Date 2002
Description File Name MIME Type Size
Text   eth-24219-01.pdf application/pdf 201.48KB
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E-Collection record created: Fri, 18 Apr 2008, 22:56:53 CET