-factor specification can be efficiently estimated within a generalized method of moments (GMM) framework using a judicious choice of moment … conditions. The GMM procedure is compared to a Kalman filter estimation approach. Empirical estimation is implemented on US … GMM produces more heavily biased estimates than does the Kalman filter, and with generally larger mean squared errors …

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … from the GMM and Kiyono et al.'s procedure via Monte Carlo simulations. We finally test the applicability of our approach … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …