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Asymptotic theory for multivariate GARCH processes

Comte, F.; Lieberman, O. - In: Journal of Multivariate Analysis 84 (2003) 1, pp. 61-84

We provide in this paper asymptotic theory for the multivariate GARCH(p,q) process. Strong consistency of the quasi-maximum likelihood estimator (MLE) is established by appealing to conditions given by Jeantheau (Econometric Theory 14 (1998), 70) in conjunction with a result given by Boussama...

Persistent link: https://www.econbiz.de/10005152827

Rule-based and case-based reasoning in housing prices

Gayer, Gabrielle (contributor); Gilboa, Itzhak (contributor) - In: The B.E. journal of theoretical economics 7 (2007) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10003738136

IV and GMM inference in endogenous stochastic unit root models

Lieberman, Offer; Phillips, Peter C. B. - In: Econometric theory 34 (2018) 5, pp. 1065-1100

Persistent link: https://www.econbiz.de/10011951461

Robustness of binary choice models to conditional heteroscedasticity

Ginker, Tim; Lieberman, Offer - In: Economics letters 150 (2017), pp. 130-134

Persistent link: https://www.econbiz.de/10011764909

A multivariate stochastic unit root model with an application to derivative pricing

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10011743783

Active flows and passive returns

Levy, Ariel; Lieberman, Offer - In: Review of finance : journal of the European Finance … 20 (2016) 1, pp. 373-401

Persistent link: https://www.econbiz.de/10011590600

Hybrid stochastic local unit roots

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 215 (2020) 1, pp. 257-285

Persistent link: https://www.econbiz.de/10012439454

LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82

Persistent link: https://www.econbiz.de/10012504449

Gayer, Gabi; Lieberman, Offer; Yaffe, Omer - In: Econometric reviews 38 (2019) 3, pp. 263-278

Persistent link: https://www.econbiz.de/10012181274

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 227 (2022) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10013441621

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