Statistical inference for time-inhomogeneous volatility models.

DOI10.1214/009053604000000102zbMath1091.62103arXivmath/0406430OpenAlexW3100490367MaRDI QIDQ1879945

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406430

zbMATH Keywords

adaptive estimation stochastic volatility model local homogeneity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites Work