Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997)

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Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
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    Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (English)
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    12 November 2018
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    GMM estimation
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    Heston model
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    market microstructure noise
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    prediction-based estimating functions
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    realized variance
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