Model Selection for Volatility Prediction

DOI10.1007/978-3-319-25826-3_16zbMath1359.62348MaRDI QIDQ2956059

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

stochastic differential equation; model selection; volatility; information criterion; stable convergence; non-ergodic diffusions

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

62B10: Statistical aspects of information-theoretic topics

Related Items

Data driven time scale in Gaussian quasi-likelihood inference

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