Linear‐representation Based Estimation of Stochastic Volatility Models

DOI10.1111/J.1467-9469.2006.00495.XzbMath1164.62379OpenAlexW1996140087MaRDI QIDQ5430621

Jean-Michel Zakoian, Christian Francq

Publication date: 16 December 2007

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00495.x

zbMATH Keywords

consistencyasymptotic normalityARMA representationadequacy testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (6)

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Periodic autoregressive stochastic volatility ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ GMC/GEL estimation of stochastic volatility models ⋮ Simple estimators and inference for higher-order stochastic volatility models

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