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Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334
Persistent link: https://www.econbiz.de/10015196603
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
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Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian - 2013
normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency …
Persistent link: https://www.econbiz.de/10009725214
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Consistency and asymptotic normality for equilibrium models with partially observed outcome variables
Miller, Nathan H.; Osborne, Matthew - In: Economics letters 123 (2014) 1, pp. 70-74
Persistent link: https://www.econbiz.de/10010399056
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A note on estimating censored quantile regressions
Fitzenberger, Bernd - 1994
This note is concerned with estimating censored quantile regressions (CQR). As its major contribution, a' new algorithm, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem. In a subsequent simulation study, BRCENS performs...
Persistent link: https://www.econbiz.de/10009542191
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Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian - 2013 - [Aktualisierte Version]
In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of … GARCH models as special cases. The results are obtained under mild conditions. -- Asymptotic normality ; consistency … ; polynomial augmented GARCH models ; quasi- maximum likelihood estimation …
Persistent link: https://www.econbiz.de/10009738169
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …
Persistent link: https://www.econbiz.de/10011928329
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Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie; Storti, Giuseppe - 2017
Persistent link: https://www.econbiz.de/10011990826
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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 202 (2018) 1, pp. 92-107
Persistent link: https://www.econbiz.de/10011974555