<journal article>
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, i...ncluding convergence of moments, are obtained.show more |
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2-Kamatani | 354 KB | 363 |
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Created Date | 2019.02.25 |
Modified Date | 2023.11.14 |