High-dimensional index volatility models via Stein's identity
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Publication:2040038
DOI10.3150/20-BEJ1238zbMath1469.62268arXiv1811.10790OpenAlexW3153738260MaRDI QIDQ2040038
Publication date: 9 July 2021
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.10790
Related Items
Unnamed Item, Inference for high-dimensional varying-coefficient quantile regression, Robust parameter estimation of regression models under weakened moment assumptions
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