Estimation and inference for higher-order stochastic volatility models with leverage

DOI10.1111/JTSA.12851MaRDI QIDQ6911354zbMATH OpenFDO

Authors Md. Nazmul Ahsan, Jean-Marie Dufour, Gabriel Rodriguez-Rondon

Publication date 24 October 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12851

zbMATH Keywords

asymptotic distributionfinancial leveragehigher-order processstochastic volatility

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

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• wARMASVp

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