Moment–Based Estimation of Stochastic Volatility Models
DOI10.1007/978-3-540-71297-8_12zbMATH Open1179.62153OpenAlexW2126497138MaRDI QIDQ3646958FDOQ3646958
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
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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)
Cited In (11)
- Simulation-based estimation methods for financial time series models
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- 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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