Sample quantile analysis for long-memory stochastic volatility models

DOI10.1016/j.jeconom.2015.03.029zbMath1337.62267OpenAlexW1980182825MaRDI QIDQ888329

Hwai-Chung Ho

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.029

zbMATH Keywords

asymptotic normalityvalue-at-risksample quantilelong-memory stochastic volatility modelleast absolute deviation estimatorsampling window method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (1)

Frontiers in time series and financial econometrics: an overview

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