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Gaussian stochastic volatility, misspecified volatility filters and indirect inference estimation

Stelios Arvanitis & Antonis Demos

Econometrics and Statistics2026https://doi.org/10.1016/j.ecosta.2026.01.001article
ABDC B
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https://doi.org/https://doi.org/10.1016/j.ecosta.2026.01.001

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@article{stelios2026,
  title        = {{Gaussian stochastic volatility, misspecified volatility filters and indirect inference estimation}},
  author       = {Stelios Arvanitis & Antonis Demos},
  journal      = {Econometrics and Statistics},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.ecosta.2026.01.001},
}

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Gaussian stochastic volatility, misspecified volatility filters and indirect inference estimation

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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