Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

DOI10.1016/S0304-4076(98)00049-9zbMath0937.62105OpenAlexW2031467205WikidataQ127109962 ScholiaQ127109962MaRDI QIDQ1298478

Torben G. Andersen, Bent E. Sørensen, Hyung-Jin Chung

Publication date: 5 October 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00049-9

zbMATH Keywords

stochastic volatilityGMMEMM

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites Work

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