Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

The factor GARCH model of Engle (1987) and the latent factor ARCH model of Diebold and Nerlove (1989) have become rather popular multivariate volatility parametriza-tions due to their parsimony, and the commonality in volatility movements across different financial series. Nevertheless, there is...

This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons et al. (1989) and its generalized method of moments version, I analyse the effects of the number of assets and portfolio composition on test power. I...