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Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002771895

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004

Persistent link: https://www.econbiz.de/10002597912

Conditionaly heteroskedastic factor models : identification and instrumental variables estmation

Doz, Catherine (contributor); Renault, Eric (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002439973

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 4, pp. 1181-1232

Persistent link: https://www.econbiz.de/10009267024

Efficient derivative pricing by extended methods of moments

Gagliardini, Patrick (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003806842

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...