Via Kennedy 6
Parma, Parma 43100
University of Parma - Dipartimento di Economia
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nonparametric covariance estimation, non-synchronicity, microstructure effects, Fourier analysis, optimal portfolio choice
nonparametric covariance estimation, Fourier analysis, high frequency data, non-synchronicity, microstructure
stochastic volatility, volatility of volatility, high frequency data, microstruc- ture, Fourier analysis
High frequency data, volatility estimation, option pricing
nonparametric volatility estimation, Fourier analysis, high frequency data, non-synchronicity, microstructure, volatility of volatility, leverage, forecasting, asset allocation
Spot volatility, Nonparametric estimation, Multi-step regularization, Microstructure
Numerical Solution of PDE, Finite Difference, Finite Elements, Black-Scholes model, Discontinuous Payoff
Volatility, Covariance, Quarticity, Microstructure, Fourier analysis
market microstructure noise, high-frequency data, non-parametric volatility estimation, Merton model, default probabilities, volatility risk
option pricing, calibration, nonlinear models, dynamic hedging, feedback effects
Infinite Element method, unbounded domain
impulse control, stochastic cash management, quasi-variational inequalities, finite element approximation
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nonparametric covariance estimation, non-synchronicity, microstructure, optimal portfolio choice, Fourier analysis
integrated volatility, nonparametric estimation, Fourier analysis, microstructure, optimal sampling
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