the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …

process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of … stochastic volatility matrices are diagonal, which is the case if the univariate time series are estimated separately instead of …