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

DOI10.1016/0304-4076(95)01799-2MaRDI QIDQ1362050zbMATH OpenOpenAlexFDO

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

asymptotic biasgeneralized method of momentsoptimal weighting matrixquasi-maximum likelihoodrelative efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

Concerns the paper of \textit{E. Ruiz}, ibid. 63, No. 1, 289-306 (1994).

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 5010687 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Multivariate Stochastic Variance Models
• Pricing foreign currency options with stochastic volatility
• Quasi-maximum likelihood estimation of stochastic volatility models
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Stochastic volatility: likelihood inference and comparison with ARCH models

Cited in

(4)

• 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
• Inferences in stochastic volatility models: a new simpler way
• Linear‐representation Based Estimation of Stochastic Volatility Models

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