Dutta, Debajit; Dhar, Subhra Sankar; Mitra, Amit - In: Topics in identification, limited dependent variables, …, (pp. 193-210). 2019
Stochastic volatility models are of great importance in the field of mathematical finance, especially for accurately explaining the dynamics of financial derivatives. A quantile-based estimator for the location parameter of a stochastic volatility model is proposed by solving an optimization...
