HYBRID MULTI-STEP ESTIMATION OF THE VOLATILITY FOR STOCHASTIC REGRESSION MODELS

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Abstract

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.

Journal

  • Bulletin of informatics and cybernetics

    Bulletin of informatics and cybernetics (48), 19-35, 2016-12

    統計科学研究会

Codes

  • NII Article ID (NAID)
    120006558898
  • NII NACSIS-CAT ID (NCID)
    AA10634475
  • Text Lang
    ENG
  • Article Type
    departmental bulletin paper
  • ISSN
    0286-522X
  • Data Source
    IR 
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