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Method of moment estimation in the COGARCH(1,1) model

This is a preview. Log in through your library . Abstract We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact ...
JSTOR Daily

OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting ...
Kellogg School of Management

Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
Risk

Finite sample properties of EMM, GMM, QMLE and MLE for a square-root interest rate diffusion model

This paper performs a Monte Carlo study on efficient method of moments (EMM), generalized method of moments (GMM), quasi-maximum likelihood estimation (QMLE) and maximum likelihood estimation (MLE) ...