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Title:

Estimation of Stochastic Covariance Models using a Continuum of Moment Conditions

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Rudolph, B.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal listet in FT50 ranking:
nein
Year:
2016
Journal volume:
42
Journal issue:
4/33
Pages contribution:
-
Fulltext / DOI:
doi:10.1145/2834115
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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