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A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Persistent link: https://www.econbiz.de/10001600059

Maximum likelihood based inference in the two-way random effects model with serially correlated time effects

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 1-38). 2001

Persistent link: https://www.econbiz.de/10001590174

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 39-88). 2001

Persistent link: https://www.econbiz.de/10001590176

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 89-115). 2001

Persistent link: https://www.econbiz.de/10001590178

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - In: Essays on Random Effects models and GARCH, (pp. 119-150). 2001

Persistent link: https://www.econbiz.de/10001590185

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

Credit risk term-structures for lifetime impairment forecasting : a practical guide

Skoglund, Jimmy - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 177-195

Persistent link: https://www.econbiz.de/10011670671

Quantification of model risk in stress testing and scenario analysis

Skoglund, Jimmy - In: The journal of risk model validation 13 (2019) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012020265

Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects

Karlsson, Sune; Skoglund, Jimmy - 2000

Persistent link: https://www.econbiz.de/10001486597

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy (contributor); Karlsson, Sune (contributor) - 2001 - [Elektronische Ressource]

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10001600056