Estimation and asymptotic covariance matrix for stochastic volatility models

DOI10.1007/S10260-016-0373-8zbMath1384.62319OpenAlexW2549029815MaRDI QIDQ1697869

Maddalena Cavicchioli

Publication date: 20 February 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-016-0373-8

zbMATH Keywords

consistencyasymptotic normalitystochastic volatilityfinancial returnsasymptotically stationary processasymptotic variance-covariance matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

Cites Work

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