Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative

DOI10.1007/s10182-015-0248-6zbMath1443.62335OpenAlexW1993713392MaRDI QIDQ1621997

Anne Floor Brix, Asger Lunde

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-015-0248-6

zbMATH Keywords

market microstructure noiseHeston modelrealized varianceGMM estimationprediction-based estimating functions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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