Model Selection for Volatility Prediction (Q2956059)

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Language	Label	Description	Also known as
English	Model Selection for Volatility Prediction	scientific article

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scholarly article

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Model Selection for Volatility Prediction (English)

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zbMATH Open document ID

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10.1007/978-3-319-25826-3_16

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Masayuki Uchida

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Nakahiro Yoshida

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The Fascination of Probability, Statistics and their Applications

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publication date

16 January 2017

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

non-ergodic diffusions

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stable convergence

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stochastic differential equation

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volatility

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model selection

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information criterion

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-25826-3_16

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A new look at the statistical model identification

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The Distribution of Realized Exchange Rate Volatility

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On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations

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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Martingale estimation functions for discretely observed diffusion processes

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Estimation of the coefficients of a diffusion from discrete observations

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Approximate discrete-time schemes for statistics of diffusion processes

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On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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Maximum likelihood estimation in the birth-and-death process

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Estimation of an Ergodic Diffusion from Discrete Observations

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Generalised information criteria in model selection

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Weak limit theorems for stochastic integrals and stochastic differential equations

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Malliavin calculus, geometric mixing, and expansion of diffusion functionals

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Quasi-likelihood analysis for the stochastic differential equation with jumps

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Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations

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Estimating the dimension of a model

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Contrast-based information criterion for ergodic diffusion processes from discrete observations

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Information criteria in model selection for mixing processes

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Information criteria for small diffusions via the theory of Malliavin-Watanabe

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Adaptive estimation of an ergodic diffusion process based on sampled data

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Quasi likelihood analysis of volatility and nondegeneracy of statistical random field

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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Estimation for diffusion processes from discrete observation

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Malliavin calculus and asymptotic expansion for martingales

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Partial mixing and Edgeworth expansion

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Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

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Mathematics(1 entry)

mardi Publication:2956059

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