GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Willa Chen and Rohit S. Deo ()
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Willa Chen: Texas A&M University

Econometrics from EconWPA

Abstract: We study the rate of convergence of moment conditions that have been commonly used in the literature for Generalised Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable possesses long memory, these moment conditions have an n^{1/2-d} rate of convergence where 0Keywords: GMM; long memory; stochastic volatility and durations (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 2005-01-14
Note: Type of Document - pdf; pages: 8
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0501006

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