Linear Predictive Coding as an Estimator of Volatility

Louis Mello

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Linear Predictive Coding as an Estimator of Volatility

Louis Mello

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Abstract

In this paper, we present a method of estimating the volatility of a signal that displays stochastic noise (such as a risky asset traded on an open market) utilizing Linear Predictive Coding. The main purpose is to associate volatility with a series of statistical properties that can lead us, through further investigation, toward a better understanding of structural volatility as well as to improve the quality of our current estimates.

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Louis Mello. 2006-07-24. Linear Predictive Coding as an Estimator of Volatility. https://arxiv.org/abs/cs/0607107

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