Asymptotic Results for GMM Estimators of Stochastic Volatility Models
We derive closed-form expressions for the optimal weighting matrix for GMM estimation of the stochastic volatility model with AR(1) log-volatility, and for the asymptotic covariance matrix of the resulting estimator. The moment conditions considered are generated by the absolute observations (which is the standard approach in this literature) or by the log-squared observations. We use the expressions to compare the performances of GMM and other estimators that have been proposed, and to optimally select small sets of moment conditions from very large sets.
|Date of creation:||Mar 2003|
|Date of revision:|
|Contact details of provider:|| Web page: http://feb.kuleuven.be/Economics/|
When requesting a correction, please mention this item's handle: RePEc:ete:ceswps:ces0306. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (library EBIB)
If references are entirely missing, you can add them using this form.