Autore
Monfardini, Chiara

Titolo
Estimating stochastic volatility models through indirect inference
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1996 - Fascicolo: 22 - Pagina iniziale: 1 - Pagina finale: 27

We propose as a tool for the estimation of stochastic volatility models two Indirect Inference estimators based on the choice of an autoregressive auxiliary model and an ARM A auxiliary model respectively. These choices make the auxiliary parameter easy to estimate and at the same time allows the derivation of optimal procedures, leading to minimum variance Indirect Inference estimators. The results of some Monte Carlo experiments provide evidence that the Indirect Inference estimators perform well in finite sample, although less efficiently than Bayes and Simulated EM algorithms.



Testo completo: http://hdl.handle.net/1814/594

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