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  • Search: subject:"Quasi maximum likelihood estimation"
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Year of publication
Subject
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Estimation theory 17 Maximum likelihood estimation 17 Maximum-Likelihood-Schätzung 17 Schätztheorie 17 quasi-maximum likelihood estimation 16 ARCH model 10 ARCH-Modell 9 Estimation 9 Schätzung 9 Time series analysis 9 Zeitreihenanalyse 9 GARCH 8 Quasi Maximum Likelihood Estimation 8 asymptotic normality 6 conditional sum-of-squares 6 consistency 6 fractional integration 6 Bootstrap 4 Quasi maximum likelihood estimation 4 Quasi-Maximum Likelihood Estimation 4 polynomial augmented GARCH models 4 (un)conditional heteroskedasticity 3 AR-GARCH 3 Asymptotic Normality 3 Bootstrap approach 3 Bootstrap-Verfahren 3 Causality analysis 3 Heteroscedasticity 3 Heteroskedastizität 3 Kausalanalyse 3 Nichtparametrisches Verfahren 3 Nonparametric statistics 3 Panel 3 Panel study 3 Periodic models 3 Quasi-maximum likelihood estimation 3 adaptive estimation 3 double robustness 3 heteroskedasticity 3 inverse-probability weighting (IPW) 3
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Online availability
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Free 50 CC license 1
Type of publication
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Book / Working Paper 43 Article 7
Type of publication (narrower categories)
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Working Paper 18 Graue Literatur 12 Non-commercial literature 12 Arbeitspapier 11 Article in journal 5 Aufsatz in Zeitschrift 5 Article 1 Konferenzschrift 1
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Language
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English 31 Undetermined 19
Author
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Zakoian, Jean-Michel 10 Francq, Christian 9 Cavaliere, Giuseppe 6 Nielsen, Morten Ørregaard 6 Wooldridge, Jeffrey M. 5 Gao, Jiti 4 Meitz, Mika 4 Regnard, Nazim 4 Saikkonen, Pentti 4 Tinkl, Fabian 4 Wang, Weining 4 Taylor, Robert 3 Zakoïan, Jean-Michel 3 Asai, Manabu 2 Fan, Yan 2 Gong, Xiaodong 2 Grobys, Klaus 2 Horvath, Lajos 2 Härdle, Wolfgang Karl 2 Liang, Xuan 2 Lu, Cuicui 2 Parente, Paulo M. D. C. 2 Peng, Bin 2 Sloczynski, Tymon 2 Smith, Richard J. 2 Taylor, A. M. Robert 2 Wu, Wei Biao 2 Yan, Yayi 2 Zhu, Lixing 2 Dahl, Christian M. 1 El Ghourabi, Mohamed 1 Engle, Robert F 1 Francq, Christan 1 Iglesias, Emma M. 1 Kim, Donggyu 1 Kripfganz, Sebastian 1 Oh, Minseog 1 Royer, Julien 1 Smith, Aaron 1 So, Mike Ka-pui 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 10 School of Economics and Management, University of Aarhus 2 Université Paris-Dauphine (Paris IX) 2 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Department of Economics, European University Institute 1 Department of Economics, Oxford University 1 Department of Economics, University of California-San Diego (UCSD) 1 Economics Department, Queen's University 1 Institute for the Study of Labor (IZA) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Université Paris-Dauphine 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
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Published in...
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MPRA Paper 10 Working paper / Department of Econometrics and Business Statistics, Monash University 3 CREATES Research Papers 2 Economics Papers from University Paris Dauphine 2 IWQW discussion paper series 2 IZA Discussion Papers 2 Queen's Economics Department Working Paper 2 Queen's Economics Department working paper 2 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CREATES research paper 1 Discussion paper series / IZA 1 Econometric reviews 1 Econometrics : open access journal 1 Economics Series Working Papers / Department of Economics, Oxford University 1 Economics Working Papers / Department of Economics, European University Institute 1 IRTG 1792 Discussion Paper 1 IWQW Discussion Paper Series 1 IWQW Discussion Papers 1 Journal of Applied Finance & Banking 1 Journal of econometrics 1 Journal of time series econometrics 1 Koç University-TUSIAD Economic Research Forum Working Papers 1 Open Access publications from Université Paris-Dauphine 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Série des documents de travail 1 University of California at San Diego, Economics Working Paper Series 1 Working Papers / Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Working Papers / Economics Department, Queen's University 1 Zeitschrift für Nachwuchswissenschaftler - German Journal for Young Researchers 1 cemmap working paper 1
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Source
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RePEc 25 ECONIS (ZBW) 17 EconStor 8
Showing 1 - 10 of 50
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Using generalized estimating equations to estimate nonlinear models with spatial data
Wang, Weining; Wooldridge, Jeffrey M.; Xu, Mengshan; … - In: Econometric reviews 44 (2025) 2, pp. 214-242
Persistent link: https://www.econbiz.de/10015196599
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Time-varying multivariate causal processes
Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - In: Journal of econometrics 240 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10015075008
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Factor overnight GARCH-Itô models
Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2024
Persistent link: https://www.econbiz.de/10015338787
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Estimation of realized asymmetric stochastic volatility models using Kalman filter
Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...
Persistent link: https://www.econbiz.de/10014425668
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Realized BEKK-CAW models
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
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Time-varying multivariate causal processes
Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022
Persistent link: https://www.econbiz.de/10013494365
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Semiparametric spatial autoregressive panel data model with fixed effects and time-varying coefficients
Liang, Xuan; Gao, Jiti; Gong, Xiaodong - 2021
Persistent link: https://www.econbiz.de/10012614543
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Using generalized estimating equations to estimate nonlinear models with spatial data
Lu, Cuicui; Wang, Weining; Wooldridge, Jeffrey M. - 2020
equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we propose …
Persistent link: https://www.econbiz.de/10012433261
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
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Conditional asymmetry in ARCH models
Royer, Julien - 2020
Persistent link: https://www.econbiz.de/10012429896
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