Nonlinear recursive estimation of volatility via estimating functions

DOI10.1016/j.jspi.2011.07.006zbMath1284.62555MaRDI QIDQ643388

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

zbMATH Keywords

RCA; GARCH; nonlinear time series; recursive estimation; estimating functions

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F10: Point estimation

91B70: Stochastic models in economics