Author:
Andersen Torben G.,Chung Hyung-Jin,Sørensen Bent E.
Subject
Applied Mathematics,Economics and Econometrics
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4. Andersen, T.G., Sørensen, B.E., 1996. GMM estimation of a stochastic volatility model: A Monte Carlo study. Journal of Business and Economic Statistics 14, 328–352.
5. Andersen, T.G., Sørensen, B.E., 1997. GMM and QML asymptotic standard deviations in stochastic volatility models: A comment on Ruiz (1994). Journal of Econometrics 76, 397–403.
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163 articles.
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