A note on estimating stochastic volatility and its volatility: a new simple method
General Finance
2012-12-04 v1
Abstract
We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
Cite
@article{arxiv.1212.0380,
title = {A note on estimating stochastic volatility and its volatility: a new simple method},
author = {Moawia Alghalith},
journal= {arXiv preprint arXiv:1212.0380},
year = {2012}
}