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Role of stylized features in constructing better estimators - MaRDI portal

Role of stylized features in constructing better estimators

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DOI10.1080/03610926.2016.1157191zbMath1373.62439OpenAlexW2498667322MaRDI QIDQ5368796

L. Ramprasath

Publication date: 10 October 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2016.1157191

zbMATH Keywords

estimation regime switching Markov switching method of moments volatility clustering stylized feature

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Admissibility in statistical decision theory (62C15)

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