Edgeworth expansions for volatility models (Q6136793)
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scientific article; zbMATH DE number 7790271
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| English | Edgeworth expansions for volatility models |
scientific article; zbMATH DE number 7790271 |
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Edgeworth expansions for volatility models (English)
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17 January 2024
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The main contribution from this paper was to establish the validity of Edgeworth expansions both in the Kolmogorov and Wasserstein metric for various classes of popular volatility type models.
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Edgeworth expansions
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Garch
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volatility models
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weak dependence
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0.8131579756736755
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0.7889144420623779
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0.7720198631286621
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0.7707651257514954
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0.7633802890777588
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