Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997)
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scientific article; zbMATH DE number 6976312
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| English | Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative |
scientific article; zbMATH DE number 6976312 |
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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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