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

DOI10.2202/1558-3708.1031MaRDI QIDQ3368210zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
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• Estimation of stochastic volatility models with diagnostics
• Finite Sample Properties of the Efficient Method of Moments

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

Describes a project that uses

Uses Software

• EmmPack
• S-PLUS
• Matlab
• GAUSS

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