57 citations · 223 across the 23 of their papers we have counts for
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stat.ME2018★ 5 cited
Nonparametric Bayesian volatility learning under microstructure noise
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differ…
stat.ME2018★ 3 cited
Nonparametric Bayesian volatility estimation
Shota Gugushvili, Frank van der Meulen, Moritz Schauer +1
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equ…