Sample quantile analysis for long-memory stochastic volatility models (Q888329)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Sample quantile analysis for long-memory stochastic volatility models |
scientific article; zbMATH DE number 6502483
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sample quantile analysis for long-memory stochastic volatility models |
scientific article; zbMATH DE number 6502483 |
Statements
Sample quantile analysis for long-memory stochastic volatility models (English)
0 references
30 October 2015
0 references
sample quantile
0 references
long-memory stochastic volatility model
0 references
least absolute deviation estimator
0 references
asymptotic normality
0 references
sampling window method
0 references
value-at-risk
0 references
0 references
0 references
0 references
0.9227135
0 references
0.9095664
0 references
0.8838215
0 references
0.8830049
0 references
0.87920624
0 references
0.87653834
0 references
