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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Rudolph, B.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions 
Abstract:
We describe the implementation of a parameter estimation method suitable for models commonly used in quantitative finance. The Continuum - Generalized Method of Moments (CGMM) is a Generalized Method of Moments (GMM) type of methodology that applies a continuum of moment conditions to achieve efficiency. Instead of the transition density, the more commonly available conditional characteristic function is used for estimation. We apply CGMM to two stochastic covariance models, the Wishart Affine S...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Transactions on Mathematical Software, accepted for publication 
Jahr:
2016 
Band / Volume:
42 
Heft / Issue:
4/33 
Seitenangaben Beitrag:
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein