Rate-efficient asymptotic normality for the Fourier estimator of the leverage process

DOI10.4310/21-SII676OpenAlexW3193099337MaRDI QIDQ2073567

Maria Elvira Mancino, Giacomo Toscano

Publication date: 2 February 2022

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/21-sii676

zbMATH Keywords

Fourier analysisleverage effectstochastic volatility model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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