Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
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Publication:2691676
DOI10.1515/snde-2014-0116OpenAlexW3125744118MaRDI QIDQ2691676
Publication date: 30 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2014-0116
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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Estimation and forecasting of long memory stochastic volatility models ⋮ Bidirectional volatility transmission between stocks and bond in East Asia -- the quantile estimates based on wavelets ⋮ Option pricing under fast‐varying long‐memory stochastic volatility
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Cites Work
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