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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

Stochastic conditional duration models with "leverage effect" for financial transaction data

Feng, Dingan; Jiang, George J.; Song, Peter X.-K. - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 390-421

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On Parameter Estimation for Exponential Dispersion Arma Models

Song, Peter X.K; Feng, Dingan - 2005

A class of autoregressive moving-average (ARMA) models proposed by Jorgensen and Song [Journal of Applied Probability (1998), Vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...

Persistent link: https://www.econbiz.de/10014061714