Nonlinear recursive estimation of volatility via estimating functions
DOI10.1016/J.JSPI.2011.07.006zbMATH Open1284.62555OpenAlexW2036260807MaRDI QIDQ643388FDOQ643388
Authors: Juan-Miguel Gracia 
Publication date: 28 October 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.07.006
Recommendations
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-Likelihood and Optimal Estimation, Correspondent Paper
- Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
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- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- Recursive estimation for continuous time stochastic volatility models
- The theory and applications of statistical inference functions
- The foundations of finite sample estimation in stochastic processes
- Prediction via estimating functions
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
- Using empirical partially Bayes inference for increased efficiency
- Filtering via estimating functions
- Transform martingale estimating functions
- Parameter Estimation in Conditional Heteroscedastic Models
- Filtering and Smoothing Via Estimating Functions
- Combining estimating functions for volatility
Cited In (7)
- Recursive computation of piecewise constant volatilities
- Recovery of volatility coefficient by linearization
- Recursive estimation for continuous time stochastic volatility models
- Joint estimation using quadratic estimating function
- Combining estimating functions for volatility
- Generalized duration models and optimal estimation using estimating functions
- ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
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