GMM estimation of a realized stochastic volatility model: A Monte Carlo study
Pierre Chaussé and
Econometric Reviews, 2018, vol. 37, issue 7, 719-743
This article investigates alternative generalized method of moments (GMM) estimation procedures of a stochastic volatility model with realized volatility measures. The extended model can accommodate a more general correlation structure. General closed form moment conditions are derived to examine the model properties and to evaluate the performance of various GMM estimation procedures under Monte Carlo environment, including standard GMM, principal component GMM, robust GMM and regularized GMM. An application to five company stocks and one stock index is also provided for an empirical demonstration.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:37:y:2018:i:7:p:719-743
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