The effect of long memory in volatility on location estimation

MaRDI QIDQ987070zbMATH OpenFDO

Authors Jan Beran, Martin Schützner

Publication date 13 August 2010

Published in Sankhyā. Series B (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) 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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Cited in

(3)

• \(L_1\)-estimation for the location parameters in stochastic volatility models
• On location estimation for LARCH processes
• ON M‐Estimation Under Long‐Range Dependence in Volatility

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