Nonlinear recursive estimation of volatility via estimating functions

DOI10.1016/J.JSPI.2011.07.006MaRDI QIDQ643388zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 28 October 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.07.006

zbMATH Keywords

nonlinear time seriesGARCHrecursive estimationRCAestimating functions

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 1215432 (Why is no real title available?)
• scientific article; zbMATH DE number 835835 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Combining estimating functions for volatility
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
• Filtering and Smoothing Via Estimating Functions
• Filtering via estimating functions
• Generalized autoregressive conditional heteroscedasticity
• Parameter Estimation in Conditional Heteroscedastic Models
• Prediction via estimating functions
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Recursive estimation for continuous time stochastic volatility models
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• The foundations of finite sample estimation in stochastic processes
• The theory and applications of statistical inference functions
• Transform martingale estimating functions
• Using empirical partially Bayes inference for increased efficiency

Cited in

(7)

• Recursive computation of piecewise constant volatilities
• Recovery of volatility coefficient by linearization
• Recursive estimation for continuous time stochastic volatility models
• Joint estimation using quadratic estimating function
• Combining estimating functions for volatility
• Generalized duration models and optimal estimation using estimating functions
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS

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