A simple efficient moment-based estimator for the stochastic volatility model
Md. Nazmul Ahsan and Jean-Marie Dufour
| Year of publication: |
2019
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|---|---|
| Authors: | Ahsan, Nazmul ; Dufour, Jean-Marie |
| Published in: |
Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A. - Bingley, UK : Emerald Publishing, ISBN 978-1-78973-242-9. - 2019, p. 157-201
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| Subject: | Stochastic volatility | latent variable | ARCH | generalized method of moments | quasi-maximum likelihood | Bayesian estimator | Markov Chain Monte Carlo | asymptotic distribution | Monte Carlo test | stock returns | Schätztheorie | Estimation theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Momentenmethode | Method of moments | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-90532019000040A008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012244154