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Applications of the Characteristic Function Based Continuum GMM in Finance

Listed author(s):
  • Rachidi Kotchoni

    ()

    (THEMA - Théorie économique, modélisation et applications - Université de Cergy Pontoise - CNRS)

A review of the theoretical properties of the GMM with a continuum of moment conditions is presented. Numerical methods for its implementation are discussed. A simulation study based on the stable distribution and an empirical application based on the autoregressive variance Gamma model are performed. Using the Alcoa price data, the findings suggest that investors require a positive premium for bearing the expected risk while a negative penalty is attached to unexpected risk

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File URL: https://hal.archives-ouvertes.fr/hal-00867795/document
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Paper provided by HAL in its series Post-Print with number hal-00867795.

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Date of creation: 01 Nov 2012
Publication status: Published in Computational Statistics & Data Analysis, Elsevier, 2012, http://www.sciencedirect.com/science/article/pii/S0167947310003269. <10.1016/j.csda.2010.08.011>
Handle: RePEc:hal:journl:hal-00867795
DOI: 10.1016/j.csda.2010.08.011
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00867795
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