Estimation and Inference with the Efficient Method of Moments: With Applications to Stochastic Volatility Models and Option Pricing

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Author	P.J. van der Sluis
Title	Estimation and Inference with the Efficient Method of Moments: With Applications to Stochastic Volatility Models and Option Pricing
Promotors	H.P. Boswijk, J.F. Kiviet
Date	07-OCT-1999
Publisher	Thela Thesis. TI Research Series nr. 204
Place	Amsterdam
Year	1999
Faculty	Faculty of Economics and Business
Institute/dept.	FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
Document type	Dissertation
Download papers	Thesis Cover Titlepage Acknowledgements Contents 1: Introduction 2: Analysis of Financial Time Series 3: Efficient Method of Moments 4: Stability Tests with Known Breakpoint 5: Stability Tests with Unknown Breakpoint 6: Option Pricing 7: Forecasting Volatility 8: Summary and Further Research Appendix A: Description of Code and Score Generators Nederlandse Samenvatting (Summary in Dutch) Bibliography Author Index Cover
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