Applications of the characteristic function-based continuum GMM in finance
DOI10.1016/J.CSDA.2010.08.011zbMATH Open1254.91754OpenAlexW3121999338MaRDI QIDQ1927140FDOQ1927140
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
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Characteristic functions; other transforms (60E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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Cited In (6)
- The indirect continuous-GMM estimation
- Indirect inference for time series using the empirical characteristic function and control variates
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Observation-driven filtering of time-varying parameters using moment conditions
- The split-SV model
- On Properties of the MixedTS Distribution and Its Multivariate Extension
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