Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
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DOI: 10.1007/s10182-015-0248-6
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- Curto, José Dias & Serrasqueiro, Pedro, 2022. "The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model," Finance Research Letters, Elsevier, vol. 46(PA).
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Keywords
GMM estimation; Heston model; Market microstructure noise; Prediction-based estimating functions; Realized variance;
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