Authors: Davies, Davies
Höhenrieder, Christian
Krämer, Walter
Title: Recursive estimation of piecewise constant volatilities
Language (ISO): en
Abstract: Returns of risky assets are often modelled as the product of a volatility function times standard Gaussian noise. This paper proposes a piecewise constant volatility function and shows how to construct such functions so that (i) the number of intervals of constant volatilities is minimized, and that (ii) these constant volatilities are equal to the root mean squared returns.
URI: http://hdl.handle.net/2003/26476
http://dx.doi.org/10.17877/DE290R-814
Issue Date: 2009-07
Appears in Collections:Sonderforschungsbereich (SFB) 823

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