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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

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

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

Vine-GARCH process : stationarity and asymptotic properties

Poignard, Benjamin; Fermanian, Jean-David - 2016

Persistent link: https://www.econbiz.de/10011854705

A stochastic recurrence equations approach for score driven correlation models

Blasques, Francisco; Lucas, André; Silde, Erkki - In: Econometric reviews 37 (2018) 1/5, pp. 166-181

Persistent link: https://www.econbiz.de/10012038166

Maximum likelihood estimation for score-driven models

Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346

Persistent link: https://www.econbiz.de/10013442028

Stochastic multi-market modeling with "efficient quadratures" : does the rotation of Stroud's octahedron matter?

Artavia, Marco - 2012

Persistent link: https://www.econbiz.de/10010469511

Two essays on diffusion processes : model and econometrics

Rujeerapaiboon, Pattara - 2016

Persistent link: https://www.econbiz.de/10011586509

Tornado occurrences in the United States : a spatio-temporal point process approach

Valente, Fernanda; Laurini, Márcio Poletti - In: Econometrics : open access journal 8 (2020) 2/25, pp. 1-26

In this paper, we analyze the tornado occurrences in the Unites States. To perform inference procedures for the spatio-temporal point process we adopt a dynamic representation of Log-Gaussian Cox Process. This representation is based on the decomposition of intensity function in components of...

Persistent link: https://www.econbiz.de/10012265436

A hierarchical approach to scalable Gaussian process regression for spatial data

Dearmon, Jacob; Smith, Tony E. - 2021

Persistent link: https://www.econbiz.de/10012542437