GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Publikation: Working paperForskning

Standard

GMM Estimation of a Stochastic Volatility Model : A Monte Carlo Study. / Andersen, G. Torben; Sørensen, Bent Ejlif.

Department of Economics, University of Copenhagen, 1995.

Publikation: Working paperForskning

Harvard

Andersen, GT & Sørensen, BE 1995 'GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study' Department of Economics, University of Copenhagen.

APA

Andersen, G. T., & Sørensen, B. E. (1995). GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Department of Economics, University of Copenhagen.

Vancouver

Andersen GT, Sørensen BE. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Department of Economics, University of Copenhagen. 1995.

Author

Andersen, G. Torben ; Sørensen, Bent Ejlif. / GMM Estimation of a Stochastic Volatility Model : A Monte Carlo Study. Department of Economics, University of Copenhagen, 1995.

Bibtex

@techreport{0e4ef0d074c711dbbee902004c4f4f50,
title = "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study",
author = "Andersen, {G. Torben} and S{\o}rensen, {Bent Ejlif}",
year = "1995",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

TY - UNPB

T1 - GMM Estimation of a Stochastic Volatility Model

T2 - A Monte Carlo Study

AU - Andersen, G. Torben

AU - Sørensen, Bent Ejlif

PY - 1995

Y1 - 1995

M3 - Working paper

BT - GMM Estimation of a Stochastic Volatility Model

PB - Department of Economics, University of Copenhagen

ER -

ID: 161692