Realised volatility and parametric estimation of Heston SDEs
Sign Up to like & getrecommendations! Published in 2017 at "Finance and Stochastics"
DOI: 10.1007/s00780-020-00427-2
Abstract: We present a detailed analysis of observable moment-based parameter estimators for the Heston SDEs jointly driving the rate of returns ( R t ) $(R_{t})$ and the squared volatilities ( V t ) $(V_{t})$ .… read more here.
Keywords: heston sdes; realised volatilities; parameter estimators; heston ... See more keywords
Realised volatility connectedness among Bitcoin exchange markets
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.101391
Abstract: Abstract This paper examines the system of Bitcoin exchanges with respect to their common dynamics. We employ connectedness measures based on the daily realised volatility of Bitcoin prices, for which the results reveal that Coinbase… read more here.
Keywords: connectedness; connectedness among; volatility; among bitcoin ... See more keywords