Recursive estimation of piecewise constant volatilities

dc.contributor.author	Davies, Davies	de
dc.contributor.author	Höhenrieder, Christian	de
dc.contributor.author	Krämer, Walter	de
dc.date.accessioned	2009-10-29T10:02:24Z
dc.date.available	2009-10-29T10:02:24Z
dc.date.issued	2009-07	de
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/26476
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-814
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823; 2/2009	de
dc.subject.ddc	310	de
dc.subject.ddc	330	de
dc.subject.ddc	620	de
dc.title	Recursive estimation of piecewise constant volatilities	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true

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