Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Created claim: Wikidata QID (P12): Q127109962, #quickstatements; #temporary_batch_1722384924290
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4372026 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating continuous-time stochastic volatility models of the short-term interest rate / rank
 
Normal rank
Property / cites work
 
Property / cites work: GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of structural models for high-frequency currency market data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulated Moments Estimation of Markov Models of Asset Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence Rates of SNP Density Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models with diagnostics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating stochastic differential equations efficiently by minimum chi-squared / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-Nonparametric Maximum Likelihood Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Encompassing and indirect inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Sample Properties of Generalized Method of Moments Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374319 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models via Monte Carlo maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5445942 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4869532 / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/s0304-4076(98)00049-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2031467205 / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q127109962 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 08:51, 31 July 2024

scientific article
Language Label Description Also known as
English
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
scientific article

    Statements

    Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (English)
    0 references
    0 references
    0 references
    0 references
    5 October 1999
    0 references
    GMM
    0 references
    stochastic volatility
    0 references
    EMM
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers