Asymptotic Results for GMM Estimators of Stochastic Volatility Models

Asymptotic Results for GMM Estimators of Stochastic Volatility Models (2003)

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by Geert Dhaene , Olivier Vergote , Jel C C

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@TECHREPORT{Dhaene03asymptoticresults,
    author = {Geert Dhaene and Olivier Vergote and Jel C C},
    title = {Asymptotic Results for GMM Estimators of Stochastic Volatility Models},
    institution = {},
    year = {2003}
}

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Abstract

We derive closed-form expressions for the optimal weighting matrix for GMM estimation of the stochastic volatility model with AR(1) log- volatility, and for the asymptotic covariance matrix of the resulting estimator.

Citations

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1	l=I+1 \|Bl\| ≤ exp(a\|φ\| \|l\| ) − 1. (\|B−l\| + \|Bl\|) ≤ 2 ∞X ¡ ¡ l exp a\|φ\| ¢ − 1 ¢ l=I ∞X ∞X a =2 l=I k=1 k \|φ\| kl k! =2 ∞X µ ¶µ k kI a \|φ\| k - ∞X
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