Method of Moments Estimation for Affine Stochastic Volatility Models
Method of Moments Estimation for Affine Stochastic Volatility Models ArXiv ID: 2408.09185 “View on arXiv” Authors: Unknown Abstract We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for moments of any order. Consequently, we propose our moment estimators. We then establish a central limit theorem for our estimators and derive the explicit formulas for the asymptotic covariance matrix. Finally, we provide numerical results to validate our method. ...