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GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Torben G. Andersen, Bent E. Sørensen
DOI: 10.2307/1392446
Journal of Business and Economic Statistics

Data up to Jan 2025

Published1996
Citations133
References0
Fields
EconomicsMathematicsComputer scienceEconometricsStatisticsManagement

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GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996) – Journal of Business and Economic Statistics | Metascience Observatory Explorer