Empirical Characteristic Function Estimation and Its Applications

DOI10.1081/ETC-120039605zbMath1123.62030OpenAlexW3124075218WikidataQ57259051 ScholiaQ57259051MaRDI QIDQ3157837

Jun Yu

Publication date: 19 January 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120039605

zbMATH Keywords

stochastic volatility modelstable ARMA processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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