Robust estimation and inference for time-varying unconditional volatility

DOI10.1111/JTSA.70034MaRDI QIDQ7402261zbMATH OpenFDO

Authors Adam J. Lee, Rickard Sandberg, Genaro Sucarrat

Publication date 2026

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license File:Creative commons license with attribution.png Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.70034

zbMATH Keywords

ARCHGARCHMEMrobust estimationtime-varying unconditional volatilityvolatility

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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