GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)

DOI10.1016/0304-4076(95)01799-2zbMATH Open0900.62632OpenAlexW2010907488MaRDI QIDQ1362050FDOQ1362050

Authors: Torben G. Andersen, Bent E. Sørensen 

Publication date: 10 November 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01799-2

zbMATH Keywords

generalized method of momentsasymptotic biasrelative efficiencyquasi-maximum likelihoodoptimal weighting matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Multivariate Stochastic Variance Models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Quasi-maximum likelihood estimation of stochastic volatility models
• Pricing foreign currency options with stochastic volatility
• Title not available (Why is that?)
• Stochastic volatility: likelihood inference and comparison with ARCH models

Cited In (4)

• Inferences in stochastic volatility models: a new simpler way
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data

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