GMC/GEL estimation of stochastic volatility models |
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| Authors: | Márcio Poletti Laurini Luiz Koodi Hotta |
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| Institution: | 1. FEARP-USP, Dept. of Economics University of S?o Paulo, Ribeir?o Preto, S?o Paulo, Brazilmplaurini@gmail.com;3. IMECC-UNICAMP State University of Campinas, Campinas, S?o Paulo, Brazil |
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| Abstract: | In this article we discuss the estimation of stochastic volatility (SV) using generalized empirical likelihood/minimum contrast methods based on moment conditionsmodels. 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. |
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| Keywords: | Cressie-Read discrepancy Moment conditions Robustness Stochastic volatility |
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