Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.
Viceira, Luis M., and George Chacko. "Spectral GMM Estimation of Continuous-Time Processes." Special Issue on Frontiers of Financial Econometrics and Financial Engineering. Journal of Econometrics 116 ...
One of the key assumptions of regression is that the variance of the errors is constant across observations. Correcting for heteroscedasticity improves the efficiency of the estimates. If you had a ...
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