ON M‐Estimation Under Long‐Range Dependence in Volatility
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Publication:5430495
DOI10.1111/j.1467-9892.2006.00506.xzbMath1164.62039OpenAlexW2099810891MaRDI QIDQ5430495
Publication date: 16 December 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00506.x
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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