Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

Journal of Econometrics

Volumn 91, Issue 1, 1999, Pages 61-87

  Andersen, Torben G ^b   Chung, Hyung Jin ^a   Sørensen, Bent E ^a  

^a BROWN UNIVERSITY   (United States)

^b NONE

Author keywords

EMM; GMM; Monte Carlo; Stochastic volatility

Indexed keywords

EID: 0002775221     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00049-9     Document Type: Article

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