Model selection for volatility prediction

DOI10.1007/978-3-319-25826-3_16MaRDI QIDQ2956059zbMATH OpenOpenAlexFDO

Authors Masayuki Uchida, Nakahiro Yoshida

Publication date 16 January 2017

Published in The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-25826-3_16

zbMATH Keywords

information criterionmodel selectionnon-ergodic diffusionsstable convergencestochastic differential equationvolatility

Mathematics Subject Classification ID

Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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Cited in

(1)

• Data driven time scale in Gaussian quasi-likelihood inference

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