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)

Cites work

• A Stochastic Volatility Model With a General Leverage Specification
• An algorithm for robust fitting of autoregressive models
• An almost closed form estimator for the EGARCH model
• ARMA representation of integrated and realized variances
• Automatic Lag Selection in Covariance Matrix Estimation
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• scientific article; zbMATH DE number 194144 (Why is no real title available?)
• scientific article; zbMATH DE number 1211743 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Hypothesis Testing with Efficient Method of Moments Estimation
• Invariant tests based onM-estimators, estimating functions, and the generalized method of moments
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Modified Randomization Tests for Nonparametric Hypotheses
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Multi-Horizon Forecast Comparison
• Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
• On leverage in a stochastic volatility model
• Quasi-maximum likelihood estimation of stochastic volatility models
• Simple estimators and inference for higher-order stochastic volatility models
• Some recent developments in stochastic volatility modelling
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Model Confidence Set
• Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modeling

This page was built for publication: Estimation and inference for higher-order stochastic volatility models with leverage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6911354)