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- W3141589665 abstract "In this survey paper, we provide a synthesis of parametric (finite-dimensional-moments-based) estimation and testing methods for various classes of financial time series (FTS) models, including partially specified GARCH-type models in the univariate context and their extensions to univariate fully specified models, multivariate partially specified models (constant/dynamic conditional correlation models), multivariate fully specified models (copula-based multivariate dynamic models), and multiplicative error models. This synthesis is based on a unified approach, which is established using the concept of the generalized residual (that encompasses the error terms of various models) and the method of moments (that forms the generalized estimation and testing methods). This approach is systematically applicable to various conditional moment or distribution models. This paper summarizes a number of important FTS models and the associated parametric estimation and testing methods, and highlights some simple but general principles underlying these seemingly different models and methods." @default.
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- W3141589665 date "2009-01-01" @default.
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- W3141589665 title "A Method-of-Moments-Based Synthesis of Estimation and Testing Methods for Financial Time Series Models" @default.
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