Role of stylized features in constructing better estimators

DOI10.1080/03610926.2016.1157191MaRDI QIDQ5368796zbMATH OpenOpenAlexFDO

Authors L. Ramprasath

Publication date 10 October 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1157191

zbMATH Keywords

estimationMarkov switchingmethod of momentsregime switchingstylized featurevolatility clustering

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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