Adaptive estimation of the dynamics of a discrete time stochastic volatility model
DOI10.1016/j.jeconom.2009.07.001zbMath1431.62139OpenAlexW2106518093MaRDI QIDQ2630149
Yves Rozenholc, Claire Lacour, Fabienne Comte
Publication date: 25 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.07.001
hidden Markov modeldeconvolutionadaptive estimationautoregressionheteroscedasticnonparametric projection estimator
Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
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