Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "GMM"
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An Eigenfunction Approach for Volatility Modeling
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the ... -
Quadratic M-Estimators for ARCH-Type Processes
(Université de Montréal. Département de sciences économiques., 1998)This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account ... -
Testing Normality : A GMM Approach
(Université de Montréal. Département de sciences économiques., 2002)In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the ...