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

Authors	P.J. van der Sluis
Supervisors	H.P. Boswijk J.F. Kiviet
Award date	07-10-1999
Publisher	Amsterdam: Thela Thesis. TI Research Series nr. 204
Organisations	Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Document type	PhD thesis
Note	Research conducted at: UVA-FEE
Downloads	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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