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L 1-estimation for the location parameters in stochastic volatility models

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Abstract

L 1-estimation of a location parameter is studied for the “product type” stochastic volatility models. The asymptotic distribution of the L 1-estimator is established under general conditions on the behavior of the distribution function of the errors near zero.

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Authors and Affiliations

  1. Dept. Math., Nanjing Univ., Nanjing, China

    L. Wang

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  1. L. Wang
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Correspondence to L. Wang.

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Wang, L. L 1-estimation for the location parameters in stochastic volatility models. Math. Meth. Stat. 20, 165–170 (2011). https://doi.org/10.3103/S1066530711020062

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  • DOI: https://doi.org/10.3103/S1066530711020062

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