GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
We examine alternative generalized method of moments procedures for estimation of a stochastic autoregressive volatility model by Monte Carlo methods. We document the existence ...
Publications
1 shownFrequent Co-Authors
Researcher Info
- h-index
- 1
- Publications
- 1
- Citations
- 472
- Institution
- Brown University
External Links
Identifiers
- ORCID
- 0000-0002-2326-440X
Impact Metrics
h-index
1
h-index: Number of publications with at least h citations each.