An Application of Stochastic Approximation in Simulated Method of Moments

Erfan Salavati; Nazanin Mohseni

Volume 1, Issue 2 , December 2021, , Pages 57-72

https://doi.org/10.22054/jmmf.2021.13840

Abstract
  Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions. Distributions of financial assets generally have heavier tails than other distributions, ...  Read More