\(L_1\)-estimation for the location parameters in stochastic volatility models

DOI10.3103/S1066530711020062zbMath1308.62179MaRDI QIDQ2261904

Lihong Wang

Publication date: 13 March 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

asymptotic distributionstochastic volatility model\(L_1\)-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Convex Analysis
• The memory of stochastic volatility models

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