Finite sample properties of a QML estimator of stochastic volatility models with long memory. (Q5940734)
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scientific article; zbMATH DE number 1634869
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| English | Finite sample properties of a QML estimator of stochastic volatility models with long memory. |
scientific article; zbMATH DE number 1634869 |
Statements
Finite sample properties of a QML estimator of stochastic volatility models with long memory. (English)
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20 August 2001
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fractional integration
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stochastic volatility
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quasi-maximum likelihood estimator
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0.8176988363265991
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0.8170319199562073
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0.8140273094177246
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