Sample quantile analysis for long-memory stochastic volatility models (Q888329)
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scientific article; zbMATH DE number 6502483
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| English | Sample quantile analysis for long-memory stochastic volatility models |
scientific article; zbMATH DE number 6502483 |
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Sample quantile analysis for long-memory stochastic volatility models (English)
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30 October 2015
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sample quantile
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long-memory stochastic volatility model
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least absolute deviation estimator
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asymptotic normality
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sampling window method
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value-at-risk
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0.9227135
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0.9095664
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0.8838215
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0.8830049
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0.87920624
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0.87653834
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