GMM estimation of a realized stochastic volatility model: A Monte Carlo study
研究了用广义矩估计（GMM）方法估计包含已实现波动率的随机波动率模型，推导了闭式矩条件，并在蒙特卡洛环境下比较了标准GMM、主成分GMM、稳健GMM和正则化GMM的表现，最后用五只个股和一个股指做了实证演示。
This article investigates alternative generalized method of moments (GMM) estimation procedures of a stochastic volatility model with realized volatility measures. The extended model can accommodate a more general correlation structure. General closed form moment conditions are derived to examine the model properties and to evaluate the performance of various GMM estimation procedures under Monte Carlo environment, including standard GMM, principal component GMM, robust GMM and regularized GMM. An application to five company stocks and one stock index is also provided for an empirical demonstration.