GMM estimation of a stochastic volatility model : a Monte Carlo study
by Torben G. Andersen and Bent E. Sørensen
| Year of publication: |
1995
|
|---|---|
| Authors: | Andersen, Torben |
| Other Persons: | Sørensen, Bent E. (contributor) |
| Publisher: |
Copenhagen : Inst. of Economics, Univ. |
| Subject: | Momentenmethode | Method of moments | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Extent: | 38 S graph. Darst |
|---|---|
| Series: | Discussion papers / Institute of Economics, University of Copenhagen. - Copenhagen, ISSN 0902-6452, ZDB-ID 2595074-5. - Vol. 95-19 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. 31 - 37 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000932332