Similar Search Results

On the consistency of conditional maximum likelihood estimators

Pfanzagl, J. - In: Annals of the Institute of Statistical Mathematics 45 (1993) 4, pp. 703-719

Persistent link: https://www.econbiz.de/10005395679

Consistent estimation of the dimensionality in sliced inverse regression

Nkiet, Guy - In: Annals of the Institute of Statistical Mathematics 60 (2008) 2, pp. 257-271

Persistent link: https://www.econbiz.de/10005169172

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236

Persistent link: https://www.econbiz.de/10014340997

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025

We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

Persistent link: https://www.econbiz.de/10015198647

A predictive functional regression model for asset return

Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311

Persistent link: https://www.econbiz.de/10010239559

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was …

Persistent link: https://www.econbiz.de/10011477452