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Linear‐representation Based Estimation of Stochastic Volatility Models - MaRDI portal

Linear‐representation Based Estimation of Stochastic Volatility Models (Q5430621)

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scientific article; zbMATH DE number 5220339
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English
Linear‐representation Based Estimation of Stochastic Volatility Models
scientific article; zbMATH DE number 5220339

    Statements

    title
    Linear‐representation Based Estimation of Stochastic Volatility Models (English)
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    author
    Jean-Michel Zakoian
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    Christian Francq
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    publication date
    16 December 2007
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    zbMATH Keywords
    ARMA representation
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    consistency
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    asymptotic normality
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    adequacy testing
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62P05
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    62F10
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    zbMATH DE Number
    5220339
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    OpenAlex ID
    W1996140087
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