Volatility and GMM -- Monte Carlo studies and empirical estimations

DOI10.1007/BF02929877zbMath0937.62108MaRDI QIDQ1297655

Rainer Schöbel, Hartmut Nagel

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

Related Items (2)

An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Theory of the Term Structure of Interest Rates
• 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
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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