GMM AND QML ASYMPTOTIC STANDARD DEVIATIONS IN STOCHASTIC VOLATILITY MODELS - COMMENTS ON RUIZ (1994)

Authors
ANDERSEN TG SORENSEN BE
Citation
Tg. Andersen et Be. Sorensen, GMM AND QML ASYMPTOTIC STANDARD DEVIATIONS IN STOCHASTIC VOLATILITY MODELS - COMMENTS ON RUIZ (1994), Journal of econometrics, 76(1-2), 1997, pp. 397-403
Citations number
12
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
76
Issue
1-2
Year of publication
1997
Pages
397 - 403
Database
ISI
SICI code
0304-4076(1997)76:1-2<397:GAQASD>2.0.ZU;2-A
Abstract
This note describes a practical procedure for arbitrarily precise calc ulation of the GMM asymptotic standard deviations for the parameters i n a stochastic volatility model. Earlier results provided by Ruiz (199 4) are flawed on this point. The correct numbers are in some cases ord ers of magnitude different from the prior published figures. The impli cations regarding the relative efficiency between GMM and QML estimate s are briefly discussed.