Search Results - subject:"Finite normal mixtures"

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300

efficiency losses for Gaussian PMLEs in simultaneous equations models. We revisit his two-equation example using finite normal … mixtures PMLEs instead, which are also consistent for mean and variance parameters regardless of the true distribution of the …

Persistent link: https://www.econbiz.de/10014496069

PML versus minimum x2 : the comeback

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 253-300

Persistent link: https://www.econbiz.de/10014462242

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs - Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...

Persistent link: https://www.econbiz.de/10014496112

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 429-474

Persistent link: https://www.econbiz.de/10013326911

Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2022

Persistent link: https://www.econbiz.de/10013540674

Moment tests of independent components

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2021

Persistent link: https://www.econbiz.de/10012660817

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Fiorentini, Gabriele; Sentana, Enrique - 2020

Persistent link: https://www.econbiz.de/10012310522

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

Persistent link: https://www.econbiz.de/10010298390

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008

Persistent link: https://www.econbiz.de/10010986460

Asymmetric Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008

Keywords: Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect 1 Introduction Dynamic … univariate finite normal mixtures. An issue which has not been satisfactorily resolved so far is the empirical determination of … functions to be mixed is linearly dependent (Yakowitz and Spragins, 1968). Fortunately, the class of multivariate finite normal …

Persistent link: https://www.econbiz.de/10005007626