Search Results - subject:"Gaussian likelihood"

Estimating GARCH models: when to use what?

Huang, Da; Wang, Hansheng; Yao, Qiwei - London School of Economics (LSE) - 2008

relative performance of the two competing estimation methods, namely the maximum quasi-likelihood estimator based on a Gaussian … likelihood (GMLE) and the log-transform-based least absolutely deviations estimator (LADE) (see Peng and Yao 2003Biometrika,90 …

Persistent link: https://www.econbiz.de/10011126440

Least absolute deviations estimation for ARCH and GARCH models

Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2003

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with heavy‐tailed errors, the conventional maximum quasilikelihood estimator suffers from complex limit distributions and slow...

Persistent link: https://www.econbiz.de/10011126223