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Temporally local maximum likelihood with application to SIS model
Gourieroux, Christian; Jasiak, Joann - In: Journal of time series econometrics 15 (2023) 2, pp. 151-198
Persistent link: https://www.econbiz.de/10014465605
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Multiple minima in the estimation of models with autoregressive disturbances
Doran, Howard E.; Kmenta, Jan - 1990
Persistent link: https://www.econbiz.de/10000796104
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An umbrella test for first order misspecification
Kmenta, Jan; Sedo, Stanley Anthony - 1992
Persistent link: https://www.econbiz.de/10000872786
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Estimation of the covariance matrix of the least-squares regression coefficients when the disturbance covariance matrix is of unknown form
Keener, Robert W. - In: Econometric theory 7 (1991) 1, pp. 22-45
Persistent link: https://www.econbiz.de/10001111341
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1997
Persistent link: https://www.econbiz.de/10000980453
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Kernel autocorrelogram for time deformed processes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996
Persistent link: https://www.econbiz.de/10000950447
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Nonlinear autocorrelograms : an application to intra-trade durations
Gouriéroux, Christian; Jasiak, Joann - 1998
Persistent link: https://www.econbiz.de/10000996742
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Truncated maximum likelihood, and nonparametric tail analysis
Gouriéroux, Christian; Jasiak, Joann - 1998
Persistent link: https://www.econbiz.de/10000987029
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Compound autoregressive models
Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann - 2001
Persistent link: https://www.econbiz.de/10001596247
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Local likelihood density estimation and value at risk
Gouriéroux, Christian; Jasiak, Joann - 2001 - Rev. version
Persistent link: https://www.econbiz.de/10001626927