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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
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
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
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
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
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
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012797266
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
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
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