2 papers
q-fin.ST2016
Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
Vladimir Filimonov, Guilherme Demos, Didier Sornette
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large n…
q-fin.ST2009
Most Efficient Homogeneous Volatility Estimators
A. Saichev, D. Sornette, V. Filimonov
We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices.…