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Browsing by Duke-affiliated Author "Hsieh, David A."

DukeSpace

Browsing by Duke-affiliated Author "Hsieh, David A."

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  • Gallant, A. Ronald; Hsieh, David; Tauchen, George (Elsevier, 1995)
    Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score ...