A class of nonlinear stochastic volatility models and its implications for pricing currency options
Computational Statistics & Data Analysis
Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
Computational Statistics & Data Analysis
Intermediate Probability: A Computational Approach
Intermediate Probability: A Computational Approach
Intradaily dynamic portfolio selection
Computational Statistics & Data Analysis
Maximum likelihood estimation of stable Paretian models
Mathematical and Computer Modelling: An International Journal
| Hi-index | 0.03 |
A review of the theoretical properties of the GMM with a continuum of moment conditions is presented. Numerical methods for its implementation are discussed. A simulation study based on the stable distribution and an empirical application based on the autoregressive variance Gamma model are performed. Using the Alcoa price data, the findings suggest that investors require a positive premium for bearing the expected risk while a negative penalty is attached to unexpected risk.