On a Simple Two-Stage Closed-form Estimator for a Stochastic Volatility in a General Linear Regression

DOI10.1016/S0731-9053(05)20010-5zbMath1190.91153OpenAlexW2479927279MaRDI QIDQ3571970

Jean-Marie Dufour, Pascale Valéry

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20010-5

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10)

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