Estimation of stochastic volatility models with diagnostics

DOI10.1016/S0304-4076(97)00039-0zbMath0904.62134OpenAlexW3123110032MaRDI QIDQ1372927

George Tauchen, A. Ronald Gallant, 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

zbMATH Keywords

stochastic volatilityefficient method of momentsEMM

Mathematics Subject Classification ID

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

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Uses Software

• nlmdl

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