GMM estimation of a realized stochastic volatility model: a Monte Carlo study (Q5862494)
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scientific article; zbMATH DE number 7486310
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| English | GMM estimation of a realized stochastic volatility model: a Monte Carlo study |
scientific article; zbMATH DE number 7486310 |
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GMM estimation of a realized stochastic volatility model: A Monte Carlo study (English)
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9 March 2022
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generalized method of moments
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heteroscedasticity and autocorrelation consistent
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Monte Carlo simulation
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principal component GMM
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realized volatility measure
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regularized GMM
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robust GMM
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stochastic volatility model
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0.8569368720054626
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0.8496851921081543
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0.8496851921081543
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0.8265838623046875
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0.8073006272315979
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