Local Edgeworth Expansions
The article introduces a mathematical model to estimate changes in level-volatility in a Brownian semimartingale, incorporating skewness and kurtosis through fluctuating correlations and volatility changes.
Featured in No. 39 on 6 Mar 2024 · 2 days after release · 1 citation today
- Released
- 4 Mar 2024
- First featured
- No. 39 · 6 Mar 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4747434
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).