Simple estimators and inference for higher-order stochastic volatility models
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DOI: 10.1016/j.jeconom.2021.03.008
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More about this item
Keywords
Generalized method of moments; Markov Chain Monte Carlo; Monte Carlo tests; Stochastic volatility; Asymptotic distribution; Stock returns; Higher-order process;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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