Sample quantile analysis for long-memory stochastic volatility models

DOI10.1016/J.JECONOM.2015.03.029MaRDI QIDQ888329zbMATH OpenOpenAlexFDO

Authors 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-risklong-memory stochastic volatility modelsample quantileleast absolute deviation estimatorsampling window method

Mathematics Subject Classification ID

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

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Cited in

(3)

• Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model long vs. short memory
• On quantiles of the temporal aggregation of a stable moving average process and their applications
• Frontiers in time series and financial econometrics: an overview

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