Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework
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DOI: 10.1007/s10614-019-09958-z
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- Kim, Sangkwon & Kim, Junseok, 2021. "Robust and accurate construction of the local volatility surface using the Black–Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
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Keywords
Bayesian estimation; High-frequency volatility; Intraday data; Markov chain Monte Carlo; Stochastic volatility; Time-deformed returns;All these keywords.
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