Moment–Based Estimation of Stochastic Volatility Models

DOI10.1007/978-3-540-71297-8_12MaRDI QIDQ3646958zbMATH OpenOpenAlexFDO

Authors Eric Renault

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_12

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(11)

• Estimation of objective and risk-neutral distributions based on moments of integrated volatility
• Simulation-based estimation methods for financial time series models
• An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
• GMC/GEL estimation of stochastic volatility models
• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
• Linear‐representation Based Estimation of Stochastic Volatility Models
• A stylized model of ‘Momentum’ processes: a research note
• Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
• Fourier inference for stochastic volatility models with heavy-tailed innovations
• An almost closed form estimator for the EGARCH model
• Volatility forecasting and microstructure noise

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