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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Rudolph, B.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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 
Journal title:
Transactions on Mathematical Software, accepted for publication 
Year:
2016 
Journal volume:
42 
Journal issue:
4/33 
Pages contribution:
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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