Simple estimators and inference for higher-order stochastic volatility models

DOI10.1016/j.jeconom.2021.03.008OpenAlexW3160963145WikidataQ115162969 ScholiaQ115162969MaRDI QIDQ2043263

Jean-Marie Dufour, Md. Nazmul Ahsan

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.03.008

zbMATH Keywords

asymptotic distributionstochastic volatilityMarkov chain Monte Carlogeneralized method of momentsstock returnsMonte Carlo testshigher-order process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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