Estimation and forecasting of long memory stochastic volatility models

DOI10.1515/snde-2020-0106OpenAlexW4220693654MaRDI QIDQ6039116

Omar Abbara, Mauricio Zevallos

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0106

zbMATH Keywords

value-at-riskmixturesnon-Gaussian errors

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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