A Tutorial on the GMM Method (Um tutorial sobre o método GMM)
Description
Our paper can be used as a guide for those interested in learning about the GMM method with applications in Finance. These files can be used by readers who wish to follow the tutorial using the same data as the authors. 1) Before using the files with the datasets and the code, have a look at the readme file for further instructions. 2) file GMM_CKLS.R is based on the paper by Chan, Karolyi, Longstaff and Sanders (1992) and applies the GMM method to estimate the parameters of the SDE that describes the behavior of short-term continuous interest rates. 3) file GMM_CCAPM.R applies the GMM method on data comprised of 10 portfolios built according to the market value of shares traded on NYSE 4) files Data_CCAPM and Data_CKLS contain the dataset that needs to be uploaded with the code.