GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
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References listed on IDEAS
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More about this item
KeywordsGMM; long memory; stochastic volatility and durations;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-01-23 (All new papers)
- NEP-ECM-2005-01-23 (Econometrics)
- NEP-ETS-2005-01-23 (Econometric Time Series)
- NEP-FIN-2005-01-23 (Finance)
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