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Volatility and risk estimation with linear and nonlinear methods based on high frequency data
| Metadata Label | Value |
|---|---|
| Author(s): | Dettling, Marcel, Bühlmann, Peter Lukas |
| Publisher: | Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) |
| Citation: | Dettling, Marcel and Bühlmann, Peter Lukas. Volatility and risk estimation with linear and nonlinear methods based on high frequency data. Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) (2001). http://dx.doi.org/10.3929/ethz-a-004218133 |
| Document Type: | Reports |
| Documents: |
Text
(272.10KB) |
Detailed Information
| Metadata | Description |
|---|---|
| Title | Volatility and risk estimation with linear and nonlinear methods based on high frequency data |
| Author(s) |
Dettling, Marcel 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. 96 |
| Language | English |
| DOI | http://dx.doi.org/10.3929/ethz-a-004218133 |
| Subject(s) | Mathematical Statistics |
| Keyword(s) |
VOLATILITY STOCK EXCHANGE QUOTATIONS PREDICTION THEORY PROBABILITY THEORY |
| Organisational Unit | Seminar for Statistics |
| Online Publication Date | 2002 |
| Description | File Name | MIME Type | Size |
|---|---|---|---|
| Text |
eth-24222-01.pdf |
application/pdf | 272.10KB |
| Description | URL |
|---|---|
| NEBIS Link | http://opac.nebis.ch/F/?local_base=NEBIS&func=find-b&find_code=SYS&request=004218133 |
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E-Collection record created: Fri, 18 Apr 2008, 22:57:00 CET