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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolay; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-610
Persistent link: https://www.econbiz.de/10009996258
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How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions
Hirukawa, Masayuki - In: Economics letters 111 (2011) 2, pp. 170-173
Persistent link: https://www.econbiz.de/10008931500
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A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION
Hirukawa, Masayuki - In: Econometric theory 26 (2010) 3, pp. 710-744
Persistent link: https://www.econbiz.de/10008415358
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Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93
Persistent link: https://www.econbiz.de/10008311722
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On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
Prokhorov, Artem - In: Economics letters 102 (2009) 1, pp. 4-6
Persistent link: https://www.econbiz.de/10008170369
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GMM redundancy results for general missing data problems
Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 151 (2009) 1, pp. 47-55
Persistent link: https://www.econbiz.de/10008257298
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Second order bias of quasi-MLE for covariance structure models
Prokhorov, Artem - In: Economics letters 114 (2012) 2, pp. 195-198
Persistent link: https://www.econbiz.de/10009818251
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Likelihood-based estimation in a panel setting: Robustness, redundancy and validity of copulas
Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 153 (2009) 1, pp. 93-105
Persistent link: https://www.econbiz.de/10008883205
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GMM redundancy results for general missing data problems
Prokhorov, Artem; Schmidt, Peter - In: Journal of econometrics 151 (2009) 1, pp. 47-56
Persistent link: https://www.econbiz.de/10008889746
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On relative efficiency of quasi-MLE and GMM estimators of covariance structure models
Prokhorov, Artem - In: Economics letters 102 (2009) 1, pp. 4-7
Persistent link: https://www.econbiz.de/10008890367