Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative

DOI10.1007/S10182-015-0248-6MaRDI QIDQ1621997zbMATH OpenOpenAlexFDO

Authors A. Brix, Asger Lunde

Publication date 12 November 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-015-0248-6

zbMATH Keywords

market microstructure noiserealized varianceHeston modelGMM estimationprediction-based estimating functions

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
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• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Handbook of Financial Time Series
• Lévy-driven CARMA processes
• Microstructure noise in the continuous case: the pre-averaging approach
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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• Prediction-based estimating functions
• Prediction-based estimating functions: review and new developments
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• Theoretical comparisons of block bootstrap methods

Cited in

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• Prediction-based estimating functions

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