Factor stochastic volatility in mean models: A GMM approach

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 275-309

  Doz, Catherine ^a   Renault, Eric ^b,c  

^a UMR 8184   (France)

^b CIRANO   (Canada)

^c UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Asset pricing; Common features; Conditional factor models; Generalized method of moments; Multiperiod conditional moment restrictions; Multivariate conditional heteroskedasticity; Stochastic volatility

Indexed keywords

EID: 33747809361     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713325     Document Type: Article

References (24)

1. Andersen, T. G. (1994). Stochastic autoregressive volatility: a framework for volatility modeling. Mathematical Finance 4:75-102.
2. Arellano, M., Hansen, L. P., Sentana, E. (1999). Underidentification? Working Paper, CEMFI, Madrid.
3. Barndorff-Nielsen, O., Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics (with discussion). Journal of the Royal Statistical Society, Series B 64:253-280.
4. Bauwens, L., Laurent, S., Peters, J. P., Rombouts, J. (2002). Multivariate GARCH models and their estimation. Computing in Economics and Finance 19.
5. Chamberlain, G., Rothschild, M. (1983). Arbitrage, factor structure and mean-variance analysis in large asset markets. Econometrica 51:1305-1324.
6. Diebold, F. X., Nerlove, M. (1989). The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. Journal of Applied Econometrics 4:1-21.
7. Drost, F. C., Werker, B. J. M. (1996). Closing the GARCH gap: continuous time GARCH modelling. Journal of Econometrics 74:31-57.
8. Duffie, D., Pan, J., Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68:1342-1376.
9. Engle, R. F., Kozicki, S. (1993). Testing for common features. Journal of Business and Economic Statistics 11(4):369-395.
10. Engle, R. F., Lilien, D., Robbins, R. (1987). Estimation of time varying risk premia in the term structure: the ARCH-M model. Econometrica 55:391-407.
11. Engle, R. F., Ng, V. K., Rothschild, M. (1990). Asset pricing with a FACTOR-ARCH covariance structure: empirical estimates for treasury bills. Journal of Econometrics 45:213-237.
12. Fiorentini, G., Sentana, E. (2001). Identification, estimation and testing of conditionally heteroskedastic factor models. Journal of Econometrics 102:143-164.
13. Fiorentini, G., Sentana, E., Shephard, N. (2004). Likelihood-based estimation of latent generalised ARCH structures. Econometrica 72(5):1481-1517.
14. Hansen, L. P., Heaton, J. C., Ogaki, M. (1988). Efficiency bounds implied by multiperiod conditional moment restrictions. Journal of the American Statistical Association 83:863-871.
15. Hansen, L. P., Singleton, K. J. (1996). Efficient estimation of linear asset-pricing models with moving average errors. Journal of Business and Economic Statistics 14:53-68.
16. King, M. A., Sentana, E., Wadhwani, S. B. (1994). Volatility and links between national stock markets. Econometrica 62:901-933.
17. Koopman, S. J., Hol Uspensky, E. (2002). The stochastic volatility in mean model: empirical evidence from international stock markets. Journal of Applied Econometrics 17-6:667-689.
18. McAleer, M. (2005). Automated inference and learning in modeling financial volatility. Econometric Theory 21:232-261.
19. Meddahi, N., Renault, E. (1996). Aggregation and marginalization of GARCH and stochastic volatility models. GREMAQ DP 96.30.433, Université de Toulouse, and DCRDE DP 3597, Université de Montréal.
20. Meddahi, N., Renault, E. (2000). Temporal aggregation of volatility models. WP CIRANO 2000-22, Montréal.
21. Meddahi, N., Renault, E. (2004). Temporal aggregation of volatility models. Journal of Econometrics 119:355-379.
22. Nijman, T., Sentana, E. (1996). Marginalization and contemporaneous aggregation in multivariate GARCH processes. Journal of Econometrics 71:71-87.
23. Ross, S. A. (1976). The arbitrage theory of asset pricing. Journal of Economic Theory 13:641-660.
24. Van der Weide, R. (2002). GO-GARCH: a multivariate generalized orthogonal GARCH model. Journal of Applied Econometrics 17(5):549-564.