GMM estimation of a realized stochastic volatility model : a Monte Carlo study
Year of publication: |
2018
|
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Authors: | Chaussé, Pierre ; Xu, Dinghai |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 6/10, p. 719-743
|
Subject: | Generalized method of moments | heteroscedasticity and autocorrelation consistent | Monte Carlo simulation | principal component GMM | realized volatility measure | regularized GMM | robust GMM | stochastic volatility model | Momentenmethode | Method of moments | Volatilität | Volatility | Monte-Carlo-Simulation | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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