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Probl. Peredachi Inf., 2005, Volume 41, Issue 3, Pages 32–50 (Mi ppi105)  

This article is cited in 3 scientific papers (total in 4 papers)

Large Systems

Tracking the Volatility Function

L. Goldentayera, F. K. Klebanerb, R. Sh. Liptserca

a Tel Aviv University
b Monash University
c Institute for Information Transmission Problems, Russian Academy of Sciences

Abstract: We propose an adaptive algorithm for tracking historical volatility. The algorithm borrows ideas from nonparametric statistics. In particular, we assume that the volatility is a several times differentiable function with a bounded highest derivative. We propose an adaptive algorithm with a Kalman filter structure, which guarantees the same asymptotics (well known from statistical inference) with respect to the sample size $n$, $n\to\infty$. The tuning procedure for this filter is simpler than for a GARCH filter.

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English version:
Problems of Information Transmission, 2005, 41:3, 212–229

Bibliographic databases:

UDC: 621.391.1:519.2
Received: 03.09.2004
Revised: 24.02.2005

Citation: L. Goldentayer, F. K. Klebaner, R. Sh. Liptser, “Tracking the Volatility Function”, Probl. Peredachi Inf., 41:3 (2005), 32–50; Problems Inform. Transmission, 41:3 (2005), 212–229

Citation in format AMSBIB
\Bibitem{GolKleLip05}
\by L.~Goldentayer, F.~K.~Klebaner, R.~Sh.~Liptser
\paper Tracking the Volatility Function
\jour Probl. Peredachi Inf.
\yr 2005
\vol 41
\issue 3
\pages 32--50
\mathnet{http://mi.mathnet.ru/ppi105}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2163849}
\zmath{https://zbmath.org/?q=an:05067909}
\transl
\jour Problems Inform. Transmission
\yr 2005
\vol 41
\issue 3
\pages 212--229
\crossref{https://doi.org/10.1007/s11122-005-0026-2}


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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. Hamza K., Klebaner F.C., “On nonexistence of non-constant volatility in the Black-Scholes formula”, Discrete Contin. Dyn. Syst. Ser. B, 6:4 (2006), 829–834  crossref  mathscinet  zmath  isi  elib
    2. Hamza K., Klebaner F.C., “On the implicit Black-Scholes formula”, Stochastics-An International Journal of Probability and Stochastic Processes, 80:1 (2008), 97–102  crossref  mathscinet  zmath  isi
    3. Guardasoni C., “Semi-Analytical Method For the Pricing of Barrier Options in Case of Time-Dependent Parameters (With Matlab (R) Codes)”, Commun. Appl. Ind. Math., 9:1 (2018), 42–67  crossref  mathscinet  isi  scopus
    4. V. M. Abramov, B. M. Miller, E. Ya. Rubinovich, P. Yu. Chiganskii, “Razvitie teorii stokhasticheskogo upravleniya i filtratsii v rabotakh R. Sh. Liptsera”, Avtomat. i telemekh., 2020, no. 3, 3–13  mathnet  crossref
  • Проблемы передачи информации Problems of Information Transmission
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