GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
Pierre Chausse and
No 1203, Working Papers from University of Waterloo, Department of Economics
This paper 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.
JEL-codes: G17 G32 C58 C01 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2012-05, Revised 2012-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:wat:wpaper:1203
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