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Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods
Fan, Jianqing; Qi, Lei; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 178-205
Persistent link: https://www.econbiz.de/10010488571
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QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation
Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10010489087
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010515451
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Copula model estimation and test of inventory portfolio pledge rate
Zhou, Li; Dong, Jing - In: International journal of business and economics … 3 (2014) 4, pp. 150-154
Persistent link: https://www.econbiz.de/10010494128
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Efficient estimation of conditionally linear and Gaussian state space models
Moura, Guilherme Valle; Turatti, Douglas Eduardo - In: Economics letters 124 (2014) 3, pp. 494-499
Persistent link: https://www.econbiz.de/10010495099
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Quasi-maximum likelihood estimation and testing for nonlinear models with endogenous explanatory variables
Wooldridge, Jeffrey M. - In: Journal of econometrics 182 (2014) 1, pp. 226-234
Persistent link: https://www.econbiz.de/10010497086
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Noncausal autoregressive model in application to bitcoin/USD exchange rates
Hencic, Andrew; Gouriéroux, Christian - In: Econometrics of risk, (pp. 17-40). 2015
Persistent link: https://www.econbiz.de/10010498586
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Estimation of discrete games with correlated types
Haiqing Xu - In: The econometrics journal 17 (2014) 3, pp. 241-270
Persistent link: https://www.econbiz.de/10010498720
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On the finite sample properties of pre-test estimators of spatial models
Piras, Gianfranco; Prucha, Ingmar R. - In: Regional science & urban economics 46 (2014), pp. 103-115
Persistent link: https://www.econbiz.de/10010475664
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On polynomial extension of t-distribution and its financial applications
Li, Hao; Melnikov, Alexander - In: Risk and decision analysis 4 (2013) 4, pp. 255-266
Persistent link: https://www.econbiz.de/10010475799