Stochastic Volatility Model with Small Randomness. Construction of CULAN Estimators

Authors

  • T. Toronjadze Georgian American University; A. Razmadze Mathematical Institute of I. Javakhishvili Tbilisi State University

DOI:

https://doi.org/10.62232/barp.8.2023.7433

Keywords:

Stochastic volatility, small randomness, CULAN estimators

Abstract

CULAN (consistent uniformly linear asymptotically normal) estimators is one of the most important class of estimators in robust statistics. Construction of such estimators for stochastic volatility model with small randomness is a goal of the present paper.

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Published

2023-12-28

How to Cite

Toronjadze, T. (2023). Stochastic Volatility Model with Small Randomness. Construction of CULAN Estimators. Business Administration Research Papers, 8(b). https://doi.org/10.62232/barp.8.2023.7433

Issue

Vol. 8 No. b (2023): Applications of Stochastic Processes and Mathematical Statistics to Financial Economics and Social Sciences VIII

Section

Conference Materials

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