GMM estimation of a realized stochastic volatility model: a Monte Carlo study
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Cites work
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- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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Cited in
(18)- Volatility and GMM -- Monte Carlo studies and empirical estimations
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
- Estimation and asymptotic covariance matrix for stochastic volatility models
- Local lagged adapted generalized method of moments: an innovative estimation and forecasting approach and its applications
- Applications of the characteristic function-based continuum GMM in finance
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
- Simple factor realized stochastic volatility models
- A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
- Local lagged adapted generalized method of moments and applications
- Parametric estimation of stochastic volatility models with generalized moment method
- Moment–Based Estimation of Stochastic Volatility Models
- GMC/GEL estimation of stochastic volatility models
- Inferences in stochastic volatility models: a new simpler way
- Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
- Factor Stochastic Volatility in Mean Models: A GMM Approach
- scientific article; zbMATH DE number 7660124 (Why is no real title available?)
- Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19
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