Applications of the characteristic function-based continuum GMM in finance
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Publication:1927140
DOI10.1016/j.csda.2010.08.011zbMath1254.91754MaRDI QIDQ1927140
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.08.011
simulation; stable distribution; autoregressive variance gamma model; continuum of moments conditions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
60E10: Characteristic functions; other transforms
91B82: Statistical methods; economic indices and measures
Related Items
Indirect inference for time series using the empirical characteristic function and control variates, The indirect continuous-GMM estimation, The split-SV model, Fourier inference for stochastic volatility models with heavy-tailed innovations
Uses Software
Cites Work
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