Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach

DOI10.3336/gm.48.1.15zbMath1273.62248OpenAlexW2335103699MaRDI QIDQ2843840

Petra Posedel, Friedrich Hubalek

Publication date: 26 August 2013

Published in: Glasnik Matematicki (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3336/gm.48.1.15

zbMATH Keywords

consistencyasymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic models in economics (91B70)

Related Items (2)

Asymptotic normality of degree counts in a preferential attachment model ⋮ Asymptotic normality of in- and out-degree counts in a preferential attachment model

This page was built for publication: Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach