Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility
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- Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
- Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023.
"A GMM approach to estimate the roughness of stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
- Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "A GMM approach to estimate the roughness of stochastic volatility," Papers 2010.04610, arXiv.org, revised Apr 2022.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-04-29 (Econometrics)
- NEP-ETS-2024-04-29 (Econometric Time Series)
- NEP-RMG-2024-04-29 (Risk Management)
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