Simple estimators and inference for higher-order stochastic volatility models

DOI10.1016/J.JECONOM.2021.03.008MaRDI QIDQ2043263zbMATH OpenOpenAlexWikidataFDO

Authors Md. Nazmul Ahsan, Jean-Marie Dufour

Publication date 30 July 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.03.008

zbMATH Keywords

asymptotic distributiongeneralized method of momentshigher-order processMarkov chain Monte CarloMonte Carlo testsstochastic volatilitystock returns

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(4)

• Towards identification of shocks in linear state-space models: application to stochastic volatility model
• Estimation and inference for higher-order stochastic volatility models with leverage
• High-frequency instruments and identification-robust inference for stochastic volatility models
• A multivariate stochastic volatility model with generalized factor dynamics

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