The effect of long memory in volatility on location estimation

zbMath1193.62154MaRDI QIDQ987070

Martin Schützner, Jan Beran

Publication date: 13 August 2010

Published in: Sankhyā. Series B (Search for Journal in Brave)

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) Robustness and adaptive procedures (parametric inference) (62F35)

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\(L_1\)-estimation for the location parameters in stochastic volatility models

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