Sample quantile analysis for long-memory stochastic volatility models
Year of publication: |
December 2015
|
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Authors: | Ho, Hwai-chung |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 360-370
|
Subject: | Sample quantile | Long-memory stochastic volatility model | Least absolute deviation estimator | Asymptotic normality | Sampling window method | Value-at-Risk | Volatilität | Volatility | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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