Inferences in Stochastic Volatility Models: A New Simpler Way

DOI10.1007/978-3-319-31260-6_4zbMath1407.62329OpenAlexW2482593290MaRDI QIDQ4645250

Nan Zheng, Vickneswary Tagore, Brajendra Chandra Sutradhar

Publication date: 10 January 2019

Published in: Advances and Challenges in Parametric and Semi-parametric Analysis for Correlated Data (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-31260-6_4

zbMATH Keywords

quasi-maximum likelihood estimationconsistent estimationlarge sample propertiessmall sample comparisonanalytical estimationcorrelated squared observationsgeneralized method of moments and complexitykurtosis estimationsimpler method of moments using fewer unbiased estimating equationstime dependent variancesvolatility parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Uses Software

• STAMP
• FinTS

Cites Work

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