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- W1512201217 abstract "We study the rate of convergence of moment conditions that have been commonly used in the literature for Generalised Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable possesses long memory, these moment conditions have an n^{1/2-d} rate of convergence where 0" @default.
- W1512201217 created "2016-06-24" @default.
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- W1512201217 date "2005-01-14" @default.
- W1512201217 modified "2023-09-27" @default.
- W1512201217 title "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models" @default.
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