GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (Q1362050): Difference between revisions
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scientific article
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| English | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) |
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GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (English)
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10 November 1998
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Concerns the paper of \textit{E. Ruiz}, ibid. 63, No. 1, 289-306 (1994).
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generalized method of moments
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quasi-maximum likelihood
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optimal weighting matrix
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asymptotic bias
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relative efficiency
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