GMM estimation of a stochastic volatility model: A monte carlo study

Journal of Business and Economic Statistics

Volumn 14, Issue 3, 1996, Pages 328-352

  Andersen, Torben G ^a   Sørensen, Bent E ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b BROWN UNIVERSITY   (United States)

Author keywords

Asymptotic standard errors; Generalized method of moments; Goodness of fit; Simulation techniques; Specification tests; Weighting matrix

Indexed keywords

EID: 0030537138     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524660     Document Type: Article

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