Torben G. Andersen - Researcher Profile

Publications

1 shown

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

Torben G. Andersen , Bent E. Sørensen

We examine alternative generalized method of moments procedures for estimation of a stochastic autoregressive volatility model by Monte Carlo methods. We document the existence ...

1996 Journal of Business and Economic Stat... 472 citations

Frequent Co-Authors

Bent E. Sørensen

Brown University

Researcher Info

h-index: 1
Publications: 1
Citations: 472
Institution: Kellogg's (Canada)

External Links

ORCID Profile Google Scholar

Identifiers

ORCID: 0009-0004-0397-000X

Impact Metrics

h-index 1

h-index: Number of publications with at least h citations each.