GMC/GEL estimation of stochastic volatility models. (English) Zbl 1385.62033
Summary: In this article we discuss the estimation of stochastic volatility (SV) using generalized empirical likelihood/minimum contrast methods based on moment conditions models. We show via Monte Carlo simulations that the proposed methods have superior or equivalent performance to the other alternative methods, and, additionally, they offer robustness properties in the presence of heavy-tailed distributions and outliers.
MSC:
| 62P20 | Applications of statistics to economics |
| 62G05 | Nonparametric estimation |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 91B84 | Economic time series analysis |
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