Showing 1 - 10 of 51
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional...
Persistent link: https://www.econbiz.de/10014615129
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional...
Persistent link: https://www.econbiz.de/10004988904
We consider a class of nonlinear vector error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties of...
Persistent link: https://www.econbiz.de/10008866532
Persistent link: https://www.econbiz.de/10011663393
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Computation which build likelihoods based on limited information. The proposed estimators and filters are computationally attractive relative...
Persistent link: https://www.econbiz.de/10011263469
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE's) of the GARCH model augmented by including an additional explanatory variable-the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...
Persistent link: https://www.econbiz.de/10010975852
We develop a new approach to approximating asset prices in the context of continuous-time models. For any pricing model that lacks a closed-form solution, we provide a closed-form approximate solution, which relies on the expansion of the intractable model around an “auxiliary” one. We...
Persistent link: https://www.econbiz.de/10011039202
Persistent link: https://www.econbiz.de/10011005104
Persistent link: https://www.econbiz.de/10011005112
We propose an easy-to-implement simulated maximum likelihood estimator for dynamic models where no closed-form representation of the likelihood function is available. Our method can handle any simulable model without latent dynamics. Using simulated observations, we nonparametrically estimate...
Persistent link: https://www.econbiz.de/10010577518