Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative

Publication: Research - peer-reviewJournal article

DOI

Original languageEnglish
JournalA St A - Advances in Statistical Analysis
Volume99
Issue number4
Pages (from-to)433-465
Number of pages33
ISSN1863-8171
DOIs
StatePublished - 2015

    Keywords

  • GMM estimation, Heston model, Market microstructure noise, Prediction-based estimating functions, Realized variance

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ID: 98074523