Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.
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) ...
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