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Econometric Reviews Volume 37, 2018 - Issue 7
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Original Articles

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

Pierre ChausséDepartment of Economics, University of Waterloo, Waterloo, Ontario, Canada
&
Dinghai XuDepartment of Economics, University of Waterloo, Waterloo, Ontario, CanadaCorrespondence[email protected]
Pages 719-743 | Published online: 29 Apr 2016

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Read on this site (2)

Wantanee Poonvoralak. (2023) Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19. Journal of Applied Statistics 50:8, pages 1853-1875.
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Dheeraj Sharma, Shweta Ahalawat, Archana Patro & Patanjal Kumar. (2022) Spot market and derivative segment of equity in India. Applied Economics 54:3, pages 326-339.
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Articles from other publishers (4)

Luwen Zhang & Li Wang. (2023) Generalized Method of Moments Estimation of Realized Stochastic Volatility Model. Journal of Risk and Financial Management 16:8, pages 377.
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Hiroyuki Kawakatsu. (2023) Simple Factor Realized Stochastic Volatility Models. Journal of Time Series Econometrics 15:1, pages 79-110.
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Dinghai Xu. (2020) A study on volatility spurious almost integration effect: A threshold realized GARCH approach . International Journal of Finance & Economics 26:3, pages 4104-4126.
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Jochen Heberle & Cristina Sattarhoff. (2017) A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. Econometrics 5:1, pages 9.
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