R-estimation in semiparametric dynamic location-scale models (Q503558)
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scientific article; zbMATH DE number 6674386
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| English | R-estimation in semiparametric dynamic location-scale models |
scientific article; zbMATH DE number 6674386 |
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R-estimation in semiparametric dynamic location-scale models (English)
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13 January 2017
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conditional heteroskedasticity
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distribution-freeness
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discretely observed Lévy processes
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forecasting
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R-estimation
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realized volatility
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skew-t family
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0.8357684016227722
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0.8270453214645386
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0.7989327311515808
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0.7845339775085449
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0.7785772085189819
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