Estimation of stochastic volatility models with diagnostics

DOI10.1016/S0304-4076(97)00039-0zbMATH Open0904.62134OpenAlexW3123110032MaRDI QIDQ1372927FDOQ1372927

Authors: A. Ronald Gallant, George Tauchen, David A. Hsieh 

Publication date: 25 January 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00039-0

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zbMATH Keywords

stochastic volatilityefficient method of momentsEMM

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (55)

• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
• On the use of non-linear transformations in stochastic volatility models
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• Evidence of Markov properties of high frequency exchange rate data
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• MCMC maximum likelihood for latent state models
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• On the existence of strongly consistent indirect estimators when the binding function is compact valued
• Notes on financial econometrics
• Asymptotic nonequivalence of GARCH models and diffusions
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• A GMM approach to estimate the roughness of stochastic volatility
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• Testing for the Markov property in time series
• EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• The relative efficiency of method of moments estimators
• A fast and efficient Markov chain Monte Carlo method for market microstructure model
• Modeling long memory in stock market volatility
• EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Bayesian semiparametric stochastic volatility modeling
• Comparison of value-at-risk models using the MCS approach
• Simple estimators and inference for higher-order stochastic volatility models
• Estimation and properties of a time-varying EGARCH(1,1) in mean model
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Estimation and asymptotic covariance matrix for stochastic volatility models
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Solving asset pricing models with stochastic volatility
• Deciding between GARCH and stochastic volatility via strong decision rules
• Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models
• On generalised asymmetric stochastic volatility models
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
• Stochastic Volatility Models Predictive Relevance for Equity Markets
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• Title not available (Why is that?)
• Semiparametric stochastic volatility modelling using penalized splines
• Shrinkage empirical likelihood estimator in longitudinal analysis with time-dependent covariates -- application to modeling the health of Filipino children
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
• Parametric and nonparametric models and methods in financial econometrics
• Spectral GMM estimation of continuous-time processes
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Predicting crypto-currencies using sparse non-Gaussian state space models
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• How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian semiparametric Markov switching stochastic volatility model
• Particle learning for Bayesian semi-parametric stochastic volatility model

Uses Software

• nlmdl

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