Applications of the characteristic function-based continuum GMM in finance

DOI10.1016/j.csda.2010.08.011zbMath1254.91754OpenAlexW3121999338MaRDI QIDQ1927140

Rachidi Kotchoni

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.08.011

zbMATH Keywords

simulationstable distributionautoregressive variance gamma modelcontinuum of moments conditions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Characteristic functions; other transforms (60E10) Statistical methods; economic indices and measures (91B82)

Related Items (6)

The indirect continuous-GMM estimation ⋮ The split-SV model ⋮ On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations ⋮ Indirect inference for time series using the empirical characteristic function and control variates

Uses Software

• STABLE
• SYMSTB

Cites Work

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