Sample quantile analysis for long-memory stochastic volatility models
type: Item
instance of: scholarly article
title: Sample quantile analysis for long-memory stochastic volatility models
zbMATH Open document ID: 1337.62267
author: Hwai-Chung Ho
published in: Journal of Econometrics
publication date: 2015-10-30T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6502483
zbMATH Keywords: sample quantile
zbMATH Keywords: long-memory stochastic volatility model
zbMATH Keywords: least absolute deviation estimator
zbMATH Keywords: asymptotic normality
zbMATH Keywords: sampling window method
zbMATH Keywords: value-at-risk
MaRDI profile type: Publication
full work available at URL: j.jeconom.2015.03.029
OpenAlex ID: W1980182825
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DOI: 10.1016/J.JECONOM.2015.03.029
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description: scientific article; zbMATH DE number 6502483