Volatility Estimation When the Zero-Process is Nonstationary
Author:
Affiliation:
1. CREST, Université de Lille, Lille, France
2. Department of Economics, BI Norwegian Business School, Oslo, Norway
Funder
Agence Nationale de la Recherche
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1999821
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1. Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients
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