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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

McCloskey, Adam - 2012 - This version: October 2012

-memory. -- stochastic volatility ; frequency domain estimation ; robust estimation ; spurious persistence ; long-memory ; level shifts …

Persistent link: https://www.econbiz.de/10009660446

Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long …

Persistent link: https://www.econbiz.de/10009719116

Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends

McCloskey, Adam - 2012

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...

Persistent link: https://www.econbiz.de/10013098304

The Algebra of Two Scales Estimation, and the S-TSRV : High Frequency Estimation That Is Robust to Sampling Times

Mykland, Per A. - 2018

In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the … components. As an application of this representation, the paper develops a central limit theory for multivariate volatility …

Persistent link: https://www.econbiz.de/10012914838

Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-Augmented Regressions

Wang, Fa - 2020

This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...

Persistent link: https://www.econbiz.de/10012849457

Large Deviations of Factor Models with Regularly-Varying Tails : Asymptotics and Efficient Estimation

Pourbabaee, Farzad - 2019

estimation of this class is introduced and theoretically shown to exponentially outperform the crude Monte-Carlo estimator, in …

Persistent link: https://www.econbiz.de/10012889760

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Urga, Giovanni; Wang, Fa - 2023

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in …

Persistent link: https://www.econbiz.de/10014357821

Estimation and Inference for High Dimensional Factor Model with Regime Switching

Urga, Giovanni; Wang, Fa - 2022

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in …

Persistent link: https://www.econbiz.de/10014083426

Maximum Likelihood Estimation and Inference for High Dimensional Generalized Factor Models with Application to Factor-augmented Regressions

Wang, Fa - 2021

This paper reestablishes the main results in Bai (2003) and Bai and Ng(2006) for generalized factor models, with slightly stronger conditions on therelative magnitude of N(number of subjects) and T(number of time periods).Convergence rates of the estimated factor space and loading space and...

Persistent link: https://www.econbiz.de/10014088743

Large Dimensional Time-Varying GMM Estimation : A New Approach

Cui, Liyuan; Hong, Yongmiao; Wang, Junhui - 2021

We develop a novel machine learning method to estimate large dimensional time-varying GMM models via our newly designed ridge fusion regularization scheme. Our method is a one-step procedure and allows for abrupt, smooth and dual type time variation with a fast rate of convergence. It...

Persistent link: https://www.econbiz.de/10013234588