Applications of the Characteristic Function Based Continuum GMM in Finance

Rachidi Kotchoni (1)

1 THEMA - Théorie économique, modélisation et applications

A review of the theoretical properties of the GMM with a continuum of moment conditions is presented. Numerical methods for its implementation are discussed. A simulation study based on the stable distribution and an empirical application based on the autoregressive variance Gamma model are performed. Using the Alcoa price data, the findings suggest that investors require a positive premium for bearing the expected risk while a negative penalty is attached to unexpected risk

Domaines: Economies et finances

Rachidi Kotchoni. Applications of the Characteristic Function Based Continuum GMM in Finance. Computational Statistics and Data Analysis, 2012, http://www.sciencedirect.com/science/article/pii/S0167947310003269. ⟨10.1016/j.csda.2010.08.011⟩. ⟨hal-00867795⟩