Department of Economics and Business Economics

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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalA St A - Advances in Statistical Analysis
Issue number4
Pages (from-to)433-465
Number of pages33
Publication statusPublished - 2015

    Research areas

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

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