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

zbMATH Keywords

hidden Markov modeldeconvolutionadaptive estimationautoregressionheteroscedasticnonparametric projection estimator

Mathematics Subject Classification ID

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)

Related Items

NONPARAMETRIC STOCHASTIC VOLATILITY, Parametric inference of autoregressive heteroscedastic models with errors in variables, Parametric estimation of hidden stochastic model by contrast minimization and deconvolution, Log-Optimal Portfolios with Memory Effect

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