GMM estimation of a realized stochastic volatility model: A Monte Carlo study
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Publication:5862494
DOI10.1080/07474938.2016.1152654zbMath1490.62313OpenAlexW2343373306MaRDI QIDQ5862494
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2016.1152654
generalized method of momentsMonte Carlo simulationstochastic volatility modelheteroscedasticity and autocorrelation consistentrealized volatility measureprincipal component GMMregularized GMMrobust GMM
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