Simple estimators and inference for higher-order stochastic volatility models
type: Item
instance of: scholarly article
title: Simple estimators and inference for higher-order stochastic volatility models
author: Md. Nazmul Ahsan
author: Jean-Marie Dufour
published in: Journal of Econometrics
publication date: 2021-07-30T00:00:00Z
Mathematics Subject Classification ID: 62-XX
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7376513
zbMATH Keywords: generalized method of moments
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: Monte Carlo tests
zbMATH Keywords: stochastic volatility
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: stock returns
zbMATH Keywords: higher-order process
Wikidata QID: Q115162969
MaRDI profile type: Publication
full work available at URL: j.jeconom.2021.03.008
OpenAlex ID: W3160963145
cites work: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A
cites work: The Bias of Instrumental Variable Estimators
cites work: Efficient simulation and integrated likelihood estimation in state space models
cites work: Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
cites work: Q4214054
cites work: Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
cites work: On a Simple Two-Stage Closed-form Estimator for a Stochastic Volatility in a General Linear Regression
cites work: Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
cites work: The Fitting of Time-Series Models
cites work: Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
cites work: Modified Randomization Tests for Nonparametric Hypotheses
cites work: Linear‐representation Based Estimation of Stochastic Volatility Models
cites work: Estimation of stochastic volatility models with diagnostics
cites work: Statistical methods in finance
cites work: Q4870467
cites work: AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: Multivariate Stochastic Variance Models
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
cites work: ARMA representation of integrated and realized variances
cites work: Estimating stochastic volatility models through indirect inference
cites work: Automatic Lag Selection in Covariance Matrix Estimation
cites work: Efficient high-dimensional importance sampling
cites work: Q4214053
cites work: Quasi-maximum likelihood estimation of stochastic volatility models
cites work: Estimation of stochastic volatility models via Monte Carlo maximum likelihood
cites work: Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
DOI: 10.1016/J.JECONOM.2021.03.008
description: scientific article; zbMATH DE number 7376513