Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

DOI10.1016/j.csda.2008.08.024zbMath1453.62089OpenAlexW2164418150MaRDI QIDQ961412

Gianna Figà-Talamanca

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.08.024

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

On the estimation of non linear functions in stochastic volatility models ⋮ CEV model equipped with the long-memory

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