GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (Q1362050)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) |
scientific article; zbMATH DE number 1042456
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) |
scientific article; zbMATH DE number 1042456 |
Statements
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (English)
0 references
10 November 1998
0 references
Concerns the paper of \textit{E. Ruiz}, ibid. 63, No. 1, 289-306 (1994).
0 references
generalized method of moments
0 references
quasi-maximum likelihood
0 references
optimal weighting matrix
0 references
asymptotic bias
0 references
relative efficiency
0 references
0 references
