A. V. Dobrovidov, V. E. Tevosian, “Nonparametric estimation of volatility and its parametric analogues”, Probl. Upr., 2017, no. 4, 26

Problemy Upravleniya

RUS ENG

JOURNALS PEOPLE ORGANISATIONS CONFERENCES SEMINARS VIDEO LIBRARY PACKAGE AMSBIB

JavaScript is disabled in your browser. Please switch it on to enable full functionality of the website

	General information
	Latest issue
	Archive
	Impact factor

	Search papers
	Search references

	RSS
	Latest issue
	Current issues
	Archive issues
	What is RSS

Probl. Upr.:
Year:
Volume:
Issue:
Page:
	Find

Personal entry:
Login:
Password:
	Save password
	Enter
	Forgotten password?
	Register

Problemy Upravleniya, 2017, Issue 4, Pages 26–36 (Mi pu1037)

This article is cited in 1 scientific paper (total in 1 paper)

Control in the socio-economic systems

Nonparametric estimation of volatility and its parametric analogues

A. V. Dobrovidov, V. E. Tevosian

V. A. Trapeznikov Institute of Control Sciences of Russian Academy of Sciences, Moscow

Full-text PDF (2237 kB) Citations (1)

References:

PDF

HTML

Abstract: The article presents a method of non-parametric estimation of stochastic volatility and its comparison with other widely used algorithms in econometrics. The main advantage of this approach is the possibility to estimate the volatility in the case when its probability distribution is completely unknown. It is shown that the developed method has better characteristics in comparison with the known parametric algorithms, constructed on the basis of the GARCH model and the Kalman filter.

Keywords: stochastic volatility, nonparametric signal estimations, Kalman filter, GARCH, Taylor model.

Document Type: Article

UDC: 51-77+330.4

Language: Russian

Citation: A. V. Dobrovidov, V. E. Tevosian, “Nonparametric estimation of volatility and its parametric analogues”, Probl. Upr., 2017, no. 4, 26–36

Citation in format AMSBIB

\Bibitem{DobTev17}

\by A.~V.~Dobrovidov, V.~E.~Tevosian

\paper Nonparametric estimation of volatility and its parametric analogues

\jour Probl. Upr.

\yr 2017

\issue 4

\pages 26--36

\mathnet{http://mi.mathnet.ru/pu1037}

Linking options:

https://www.mathnet.ru/eng/pu1037

https://www.mathnet.ru/eng/pu/v4/p26

This publication is cited in the following 1 articles:

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

Registration to the website

Logotypes