Volatility and GMM -- Monte Carlo studies and empirical estimations

DOI10.1007/BF02929877MaRDI QIDQ1297655zbMATHFDO

Authors Hartmut Nagel, Rainer Schöbel

Publication date 12 September 1999

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

time seriesgeneralized method of moments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• Stock price distributions with stochastic volatility: an analytic approach

Cited in

(4)

• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• GMM estimation of a realized stochastic volatility model: a Monte Carlo study
• Factor Stochastic Volatility in Mean Models: A GMM Approach
• Fourier inference for stochastic volatility models with heavy-tailed innovations

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