Simple estimators and inference for higher-order stochastic volatility models
Md. Nazmul Ahsan, Jean-Marie Dufour
| Year of publication: |
2021
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|---|---|
| Authors: | Ahsan, Nazmul ; Dufour, Jean-Marie |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 1, p. 181-197
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| Subject: | Asymptotic distribution | Generalized method of moments | Higher-order process | Markov Chain Monte Carlo | Monte Carlo tests | Stochastic volatility | Stock returns | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Momentenmethode | Method of moments | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013275370