The Continuum-GMM Estimation: Theory and Application. - Archive ouverte HAL
Chapitre D'ouvrage Année : 2019

The Continuum-GMM Estimation: Theory and Application.

Rachidi Kotchoni
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Marine Carrasco
  • Fonction : Auteur

Résumé

By avoiding discretization, the Generalized Method of Moment based on a Continuum of moment conditions (CGMM) permits to effciently use the information content of a continuum moment restrictions. When the moment restrictions are deduced from a characteristic function, the CGMM has the potential to achieve the maximum likelihood efficiency. This chapter reviews the theory underlying the CGMM procedure, discusses the properties of the CGMM estimator and presents numerical algorithms for its implementation. An empirical application is proposed where a Variance Gamma model is fitted to the monthly increments of the USD/GBP exchange rates. We find that the variance forecasts inferred from the Variance Gamma model are of poor quality. A model that specifies the variance as a dependent process should deliver better forecasts. JEL Classification: C00, C13, C15

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Dates et versions

hal-02435760 , version 1 (11-01-2020)

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  • HAL Id : hal-02435760 , version 1

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Rachidi Kotchoni, Marine Carrasco. The Continuum-GMM Estimation: Theory and Application.. International Financial Markets [Book], Volume 1, Taylor & Francis, 2019. ⟨hal-02435760⟩
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