HYBRID MULTI-STEP ESTIMATION OF THE VOLATILITY FOR STOCHASTIC REGRESSION MODELS
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We deal with an estimation problem of a volatility parameter for stochastic regression models based on high frequency data. Hybrid multi-step estimators are proposed and their asymptotic properties, including convergence of moments, are obtained.
- Bulletin of informatics and cybernetics
Bulletin of informatics and cybernetics (48), 19-35, 2016-12