Estimation of asymmetric stochastic volatility models: application to daily average prices of energy products

DOI10.1111/j.1751-5823.2010.00125.xMaRDI QIDQ6574893

María-Carmen García, Gema Fernandez-Aviles, Jose María Montero

Publication date: 19 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

conditional heteroskedasticityasymmetric stochastic volatilityTA-ARSV model

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

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