Efficient method of moments estimation of a stochastic volatility model : a Monte Carlo study
Torben G. Andersen, Hyung-Jin Chung, Bent E. Sørensen
| Year of publication: |
1999
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|---|---|
| Authors: | Andersen, Torben ; Chung, Hyung-Jin ; Sørensen, Bent E. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 91.1999, 1, p. 61-87
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| Subject: | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Momentenmethode | Method of moments |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Notes: | In: Journal of econometrics |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001382157