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91
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FS
2010
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FS 2010
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Nonparametric estimation for a stochastic volatility model
15 years 1 months ago
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www.math-info.univ-paris5.fr
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
F. Comte, V. Genon-Catalot, Yves Rozenholc
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