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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
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Diffusion copulas : identification and estimation
Bu, Ruijun; Hadri, Kaddour; Kristensen, Dennis - In: Journal of econometrics 221 (2021) 2, pp. 616-643
Persistent link: https://www.econbiz.de/10012619252
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
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An adaptive empirical likelihood test for parametric time series regression models
Chen, Song Xi; Gao, Jiti - In: Journal of econometrics 141 (2007) 2, pp. 950-972
Persistent link: https://www.econbiz.de/10003571369
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On Bahadur efficiency of empirical likelihood
Otsu, Taisuke - In: Journal of econometrics 157 (2010) 2, pp. 248-256
Persistent link: https://www.econbiz.de/10008663033
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On empirical likelihood statistical functions
Yuan, Ao; Xu, Jinfeng; Zheng, Gang - In: Journal of econometrics 178 (2014) 1, pp. 613-623
Persistent link: https://www.econbiz.de/10010256818
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Estimation of dynamic models with nonparametric simulated maximum likelihood
Kristensen, Dennis; Shin, Yongseok - In: Journal of econometrics 167 (2012) 1, pp. 76-94
Persistent link: https://www.econbiz.de/10009551440
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Estimation of dynamic discrete models from time aggregated data
Hong, Han; Li, Weiming; Wang, Boyu - In: Journal of econometrics 188 (2015) 2, pp. 435-446
Persistent link: https://www.econbiz.de/10011503225
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Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
Zhou, Ling; Lin, Huazhen; Chen, Kani; Liang, Hua - In: Journal of econometrics 213 (2019) 2, pp. 593-607
Persistent link: https://www.econbiz.de/10012304591