GMC/GEL estimation of stochastic volatility models
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Cites work
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- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
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- Empirical likelihood and general estimating equations
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- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Generalized moment estimation of stochastic differential equations
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Methods for estimation in inference in modern econometrics.
- Moment–Based Estimation of Stochastic Volatility Models
- Multivariate Stochastic Variance Models
- Outliers in GARCH processes
- Point estimation with exponentially tilted empirical likelihood
- Pricing foreign currency options with stochastic volatility
- Robust Statistics
- Simulated minimum Hellinger distance estimation of stochastic volatility models
- Stochastic Volatility: Origins and Overview
Cited in
(13)- Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions
- Parametric estimation of stochastic volatility models with generalized moment method
- Moment–Based Estimation of Stochastic Volatility Models
- Inferences in stochastic volatility models: a new simpler way
- Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- Simulated minimum Hellinger distance estimation of stochastic volatility models
- Generalized moment estimation of stochastic differential equations
- An application of the ECF method and numerical integration in estimation of the stochastic volatility models
- SV model estimation based on Bayesian computation with empirical likelihood
- Estimation for multivariate stable distributions with generalized empirical likelihood
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Stochastic volatility process generated by Gumbel extreme value autoregressive model
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