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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

GMC/GEL estimation of stochastic volatility models

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Author(s):
Laurini, Marcio Poletti [1] ; Hotta, Luiz Koodi [2]
Total Authors: 2
Affiliation:
[1] Univ Sao Paulo, Dept Econ, FEARP, Ave Bandeirantes 3900, BR-14040905 Sao Paulo - Brazil
[2] UNICAMP State Univ Campinas, IMECC, Sao Paulo - Brazil
Total Affiliations: 2
Document type: Journal article
Source: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION; v. 46, n. 9, p. 6828-6844, 2017.
Web of Science Citations: 0
Abstract

In this article we discuss the estimation of stochastic volatility (SV) using generalized empirical likelihood/minimum contrast methods based on moment conditionsmodels. We show via Monte Carlo simulations that the proposed methods have superior or equivalent performance to the other alternative methods, and, additionally, they offer robustness properties in the presence of heavy-tailed distributions and outliers. (AU)

FAPESP's process: 13/00506-1 - Time series, wavelets and functional data analysis
Grantee:Pedro Alberto Morettin
Support Opportunities: Research Projects - Thematic Grants