Model Selection for Volatility Prediction

DOI10.1007/978-3-319-25826-3_16zbMath1359.62348OpenAlexW2279477004MaRDI QIDQ2956059

Masayuki Uchida, Nakahiro Yoshida

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_16

zbMATH Keywords

stochastic differential equationmodel selectionvolatilityinformation criterionstable convergencenon-ergodic diffusions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Data driven time scale in Gaussian quasi-likelihood inference

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