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Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2007

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...

Persistent link: https://www.econbiz.de/10005787544

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

Persistent link: https://www.econbiz.de/10014284447

Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …

Persistent link: https://www.econbiz.de/10012433164

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

Persistent link: https://www.econbiz.de/10011906446

Asymptotic properties of the weighted average least squares (WALS) estimator

De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022

We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...

Persistent link: https://www.econbiz.de/10013356478

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …

Persistent link: https://www.econbiz.de/10010377233

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

Persistent link: https://www.econbiz.de/10012797266

Parameter estimation in nonlinear AR-GARCH models

Meitz, Mika; Saikkonen, Pentti - School of Economics and Management, University of Aarhus - 2008

as a general nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Strong … consistency and asymptotic normality of the global Gaussian quasi maximum likelihood (QML) estimator are established under … the first results on consistency and asymptotic normality of the QML estimator in nonlinear autoregressive models with …

Persistent link: https://www.econbiz.de/10005440076

Asymptotics for random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - International Conferences on Panel Data - 2002

serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. The consistency and …

Persistent link: https://www.econbiz.de/10005086458

On rank estimation in symmetric matrices: the case of indefinite matrix estimators

Donald, Stephen G.; Fortuna, Natércia; Pipiras, Vladas - Faculdade de Economia, Universidade do Porto - 2005

We focus on the problem of rank estimation in an unknown symmetric matrix based on a symmetric, asymptotically normal estimator of the matrix. The related positive definite limit covariance matrix is assumed to be estimated consistently, and to have either a Kronecker product or an arbitrary...

Persistent link: https://www.econbiz.de/10005059520