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

DOI10.1007/S10182-015-0248-6zbMATH Open1443.62335OpenAlexW1993713392MaRDI QIDQ1621997FDOQ1621997

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)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On blocking rules for the bootstrap with dependent data
• Theoretical comparisons of block bootstrap methods
• Basic properties of strong mixing conditions. A survey and some open questions
• Microstructure noise in the continuous case: the pre-averaging approach
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Title not available (Why is that?)
• Lévy-driven CARMA processes
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• Handbook of Financial Time Series
• Prediction-based estimating functions
• Prediction-based estimating functions: review and new developments

Cited In (1)

• Prediction-based estimating functions

This page was built for publication: Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1621997)