Applications of the characteristic function-based continuum GMM in finance

Rachidi Kotchoni

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3599-3622

Abstract: 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.

Keywords: Autoregressive variance gamma model; Continuum of moments conditions; Simulation; Stable distribution (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947310003269
Full text for ScienceDirect subscribers only.

Related works:
Working Paper: Applications of the Characteristic Function Based Continuum GMM in Finance (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3599-3622

DOI: 10.1016/j.csda.2010.08.011

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().