On the estimation of non linear functions in stochastic volatility models

DOI10.1080/03610926.2019.1635700OpenAlexW2954272746WikidataQ127591826 ScholiaQ127591826MaRDI QIDQ5079046

Cira Perna, Francesco Giordano, Giuseppina Albano

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1635700

zbMATH Keywords

bootstrapergodicityvolatilitysmooth function of the sample mean

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Stochastic volatility models as hidden Markov models and statistical applications