Inferences in Stochastic Volatility Models: A New Simpler Way (Q4645250)
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scientific article; zbMATH DE number 6999553
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inferences in Stochastic Volatility Models: A New Simpler Way |
scientific article; zbMATH DE number 6999553 |
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Inferences in Stochastic Volatility Models: A New Simpler Way (English)
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10 January 2019
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correlated squared observations
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consistent estimation
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generalized method of moments and complexity
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kurtosis estimation
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large sample properties
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quasi-maximum likelihood estimation
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simpler method of moments using fewer unbiased estimating equations
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small sample comparison
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time dependent variances
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volatility parameters
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analytical estimation
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