Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
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Publication:1298478
DOI10.1016/S0304-4076(98)00049-9zbMath0937.62105OpenAlexW2031467205WikidataQ127109962 ScholiaQ127109962MaRDI QIDQ1298478
Torben G. Andersen, Bent E. Sørensen, Hyung-Jin Chung
Publication date: 5 October 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00049-9
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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