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Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

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Author Info
Andersen, Torben G.
Chung, Hyung-Jin
Sorensen, Bent E.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 91 (1999)
Issue (Month): 1 (July)
Pages: 61-87
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Handle: RePEc:eee:econom:v:91:y:1999:i:1:p:61-87

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Web page: http://www.elsevier.com/locate/jeconom

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