scientific article; zbMATH DE number 5010687

MaRDI QIDQ3374317zbMATH OpenFDO

Authors A. Ronald Gallant, David A. Hsieh, George Tauchen

Publication date 9 March 2006

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(8)

• Overparameterization in the seminonparametric density estimation
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Estimation of stochastic volatility models with diagnostics
• EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
• Approaches to forecasting volatility: Models and their performances for emerging equity markets

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