Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests
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DOI: 10.1016/j.jeconom.2019.10.003
Abstract: Abstract This paper studies the estimation and inference problems of time-invariant restrictions on certain known functions of the stochastic volatility process. We first develop a more efficient GMM estimator and derive the efficiency bound under… read more here.
Keywords: time; type test; estimator; time invariant ... See more keywords