Applications of the Characteristic Function Based Continuum GMM in Finance

Rachidi Kotchoni

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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

Date: 2012-11-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00867795
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Published in Computational Statistics and Data Analysis, 2012, http://www.sciencedirect.com/science/article/pii/S0167947310003269. ⟨10.1016/j.csda.2010.08.011⟩

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Journal Article: Applications of the characteristic function-based continuum GMM in finance (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00867795

DOI: 10.1016/j.csda.2010.08.011

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