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  
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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
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E-Collection record created: Fri, 18 Apr 2008, 22:57:00 CET