Search Results - person:"Jensen, Søren Tolver"

Estimation and Asymptotic Inference in the AR-ARCH Model

Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric Reviews 30 (2011) 2, pp. 129-153

This article studies asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for the parameters in the autoregressive (AR) model with autoregressive conditional heteroskedastic (ARCH) errors. A modified QMLE (MQMLE) is also studied. This estimator is based on truncation of...

Persistent link: https://www.econbiz.de/10009228501

Estimation and asymptotic inference in the AR-ARCH model

Lange, Theis; Rahbek, Anders; Jensen, Søren Tolver - In: Econometric reviews 30 (2011) 2, pp. 129-153

Persistent link: https://www.econbiz.de/10008990449

On the law of large numbers for (geometrically) ergodic Markov chains

Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 23 (2007) 4, pp. 761-766

Persistent link: https://www.econbiz.de/10003549613

ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

Jensen, Søren Tolver; Rahbek, Anders; Andrews, D.; … - In: Econometric theory 23 (2007) 4, pp. 761-766

Persistent link: https://www.econbiz.de/10007732413

Estimation in linear models based on observations with unknown and possibly unequal scaling

Jensen, Søren Tolver; Madsen, Jesper - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 1059-1064

Persistent link: https://www.econbiz.de/10003375804

Estimation in Linear Models Based on Observations With Unknown and Possibly Unequal Scaling

Jensen, Soren Tolver; Madsen, Jesper - In: Journal of the American Statistical Association 101 (2006) September, pp. 1059-1064

Persistent link: https://www.econbiz.de/10005430201

Theory and Methods - Estimation in Linear Models Based on Observations With Unknown and Possibly Unequal Scaling

Jensen, Søren Tolver; Madsen, Jesper - In: Journal of the American Statistical Association : JASA 101 (2006) 475, pp. 1059-1064

Persistent link: https://www.econbiz.de/10007292895

Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case

Jensen, Søren Tolver; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 641-646

Persistent link: https://www.econbiz.de/10001978054

Asymptotic inference for nonstationary GARCH

Jensen, Søren Tolver; Rahbek, Anders - In: Econometric theory 20 (2004) 6, pp. 1203-1226

Persistent link: https://www.econbiz.de/10002424931

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

Jensen, Søren Tolver; Rahbek, Anders - In: Econometrica 72 (2004) 2, pp. 641-646

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always...

Persistent link: https://www.econbiz.de/10005231537