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

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

    Statements

    title
    Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (English)
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    author
    Torben G. Andersen
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    Hyung-Jin Chung
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    Bent E. Sørensen
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    publication date
    5 October 1999
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    zbMATH Keywords
    GMM
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    stochastic volatility
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    EMM
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    cites work
    Q4372026
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    Q3374319
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    Q5445942
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    Q4869532
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    65C05
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    62P20
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    zbMATH DE Number
    1326300
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    OpenAlex ID
    W2031467205
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    Wikidata QID
    Q127109962
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