GMM estimation of a realized stochastic volatility model: A Monte Carlo study (Q5862494)
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scientific article; zbMATH DE number 7486310
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GMM estimation of a realized stochastic volatility model: A Monte Carlo study |
scientific article; zbMATH DE number 7486310 |
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GMM estimation of a realized stochastic volatility model: A Monte Carlo study (English)
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9 March 2022
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generalized method of moments
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heteroscedasticity and autocorrelation consistent
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Monte Carlo simulation
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principal component GMM
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realized volatility measure
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regularized GMM
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robust GMM
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stochastic volatility model
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