A Local Linear Least-Absolute-Deviations Estimator of Volatility.
Flávio Augusto ZiegelmannPublished in: Commun. Stat. Simul. Comput. (2008)
Keyphrases
- maximum likelihood
- least squares
- stock price
- discriminant analysis
- error estimation
- garch model
- exchange rate
- estimation algorithm
- importance sampling
- neural network
- financial markets
- chinese stock market
- monte carlo
- stock index futures
- stock market
- maximum a posteriori
- low dimensional
- maximum likelihood estimator
- turning points
- variance estimator
- financial time series
- multivariate time series
- confidence intervals
- markov random field
- objective function