QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen (Q1362051)
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scientific article; zbMATH DE number 1042457
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| English | QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen |
scientific article; zbMATH DE number 1042457 |
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QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen (English)
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10 November 1998
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Concerns the paper of \textit{T.G. Andersen} and \textit{B.E. Sørensen}, ibid., 397-403 (1997).
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generalized method of moments
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quasi-maximum likelihood
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