Inferences in stochastic volatility models: a new simpler way

DOI10.1007/978-3-319-31260-6_4MaRDI QIDQ4645250zbMATH OpenOpenAlexFDO

Authors Vickneswary Tagore, Nan Zheng, Brajendra C. Sutradhar

Publication date 10 January 2019

Published in Advances and Challenges in Parametric and Semi-parametric Analysis for Correlated Data (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-31260-6_4

zbMATH Keywords

analytical estimationconsistent estimationcorrelated squared observationsgeneralized method of moments and complexitykurtosis estimationlarge sample propertiesquasi-maximum likelihood estimationsimpler method of moments using fewer unbiased estimating equationssmall sample comparisontime dependent variancesvolatility parameters

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Analysis of Financial Time Series
• Efficient estimation of models for dynamic panel data
• Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
• GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
• GMM versus GQL inferences in semiparametric linear dynamic mixed models
• scientific article; zbMATH DE number 5345387 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Inversion of a tridiagonal Jacobi matrix
• Large Sample Properties of Generalized Method of Moments Estimators
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Multivariate Stochastic Variance Models
• On exact quasilikelihood inference in generalized linear mixed models
• Pricing foreign currency options with stochastic volatility
• QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen
• Quasi-maximum likelihood estimation of stochastic volatility models
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

Cited in

(7)

• Volatility and GMM -- Monte Carlo studies and empirical estimations
• Inference for random coefficient volatility models
• Inference in Lévy-type stochastic volatility models
• Moment–Based Estimation of Stochastic Volatility Models
• GMC/GEL estimation of stochastic volatility models
• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
• GMM estimation of a realized stochastic volatility model: a Monte Carlo study

Describes a project that uses

Uses Software

• STAMP
• FinTS

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