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Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
Andersen, Torben G.; Chung, Hyung-Jin; Sorensen, Bent E. - In: Journal of Econometrics 91 (1999) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10005122656
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GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
Andersen, Torben G.; Sorensen, Bent E. - In: Journal of Econometrics 76 (1997) 1-2, pp. 397-403
Persistent link: https://www.econbiz.de/10005228671
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The demand for risky assets: Sample selection and household portfolios
Perraudin, William R. M.; Sorensen, Bent E. - In: Journal of Econometrics 97 (2000) 1, pp. 117-144
Persistent link: https://www.econbiz.de/10005285831