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Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111

Persistent link: https://www.econbiz.de/10001406643

Identification, estimation and testing of conditionally heteroskedastic factor models

Sentana, Enrique; Fiorentini, Gabriele - In: Journal of econometrics 102 (2001) 2, pp. 143-164

Persistent link: https://www.econbiz.de/10001580599

Finite sample performance of the MLE in GARCH(1,1) : when the parameter on the lagged squared residual is close to zero

Kim, Suduk - In: Journal of economic theory and econometrics : journal … 4 (1998) 2, pp. 131-151

Persistent link: https://www.econbiz.de/10001562242

Essays on Random Effects models and GARCH

Skoglund, Jimmy - 2001

Persistent link: https://www.econbiz.de/10001565684

Smooth-transition GARCH models

González-Rivera, Gloria (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 61-78

Persistent link: https://www.econbiz.de/10001769701

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix; McAleer, Michael - In: Applied financial economics 13 (2003) 8, pp. 581-592

Persistent link: https://www.econbiz.de/10001770826

A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations

Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362

Persistent link: https://www.econbiz.de/10001695276

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]

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Maximum likelihood estimation of STAR and STAR-GARCH models : theory and Monte Carlo evidence

Chan, Felix; McAleer, Michael - In: Journal of applied econometrics 17 (2002) 5, pp. 509-534

Persistent link: https://www.econbiz.de/10001709313

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...

Persistent link: https://www.econbiz.de/10001644307