EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

DOI10.2202/1558-3708.1031zbMATH Open1078.91576OpenAlexW2130556288MaRDI QIDQ3368210FDOQ3368210

Authors: Pieter J. van der Sluis 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/98021.pdf

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zbMATH Keywords

financial time seriesefficient method of momentsEGARCHcomputingsemi-nonparametric

Mathematics Subject Classification ID

Economic time series analysis (91B84) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Cites Work

• Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule

Cited In (1)

• Nonparametric specification tests for stochastic volatility models based on volatility density

Uses Software

• GAUSS
• Matlab
• S-PLUS
• EmmPack

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