Efficient Method of Moments

By A. Gallant, George Tauchen. 2002

59 citations recorded by the source corpus.

How researchers see this paper

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Simulation-Based Method of Moments and Efficiency (2002, background): “Most of the arguments follow from Gallant and Tauchen (2001, 2002).”
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests (2011, methodology): “Following Huang and Tauchen (2005), we simulated several stochastic volatility processes with leverage effect, with or without jumps and different levels of persistence in volatility, as well as varying jump intensities and jump variances.”
Modelling and Forecasting Multivariate Realized Volatility (2011, methodology): “Tsay (2002) discusses its use as a reparameterization of the latent covariance matrix in a traditional multivariate GARCH framework, while in Gallant and Tauchen (2001) a Cholesky-GARCH type of model is used in the context of efficient method of moments estimation.”