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

DOI10.1016/0304-4076(95)01799-2zbMath0900.62632OpenAlexW2010907488MaRDI QIDQ1362050

Bent E. Sørensen, Torben G. Andersen

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

asymptotic biasgeneralized method of momentsquasi-maximum likelihoodrelative efficiencyoptimal weighting matrix

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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