Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (Q2852592)
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scientific article; zbMATH DE number 6214360
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| English | Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends |
scientific article; zbMATH DE number 6214360 |
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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends (English)
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9 October 2013
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stochastic volatility
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frequency domain estimation
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robust estimation
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spurious persistence
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long-memory
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level shifts
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structural change
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deterministic trends
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0.8206911087036133
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0.7595504522323608
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0.7595504522323608
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