GMC/GEL estimation of stochastic volatility models
DOI10.1080/03610918.2016.1213282zbMATH Open1385.62033OpenAlexW2519685215MaRDI QIDQ4607338FDOQ4607338
Authors: Márcio Poletti Laurini, Luiz Koodi Hotta 
Publication date: 13 March 2018
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2016.1213282
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Cites Work
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- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
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- Pricing foreign currency options with stochastic volatility
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Outliers in GARCH processes
- Moment–Based Estimation of Stochastic Volatility Models
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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