A new estimator of the fractionally integrated stochastic volatility model (Q1292339)
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scientific article; zbMATH DE number 1306088
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A new estimator of the fractionally integrated stochastic volatility model |
scientific article; zbMATH DE number 1306088 |
Statements
A new estimator of the fractionally integrated stochastic volatility model (English)
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21 June 1999
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fractional integration
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stochastic volatility
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GMM
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0.8008794784545898
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0.7922732830047607
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0.785376250743866
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