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Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models

Tinkl, Fabian - 2013

In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extend the results of (Berkes et al., 2003) and (Francq and...

Persistent link: https://www.econbiz.de/10009725214

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of econometrics 172 (2013) 1, pp. 106-126

Persistent link: https://www.econbiz.de/10009702297

Partial maximum likelihood estimation of spatial probit models

Wang, Honglin; Iglesias, Emma M.; Wooldridge, Jeffrey M. - In: Journal of econometrics 172 (2013) 1, pp. 77-89

Persistent link: https://www.econbiz.de/10009702312

Least squares estimators for nearly unstable processes for functionals of long-memory noises

Chan, Ngai Hang; Liu, Wei Wei - In: Risk and decision analysis 3 (2012) 4, pp. 239-246

Persistent link: https://www.econbiz.de/10009704609

The poisson quasi-maximum likelihood estimator : a solution to the 'adding up' problem in gravity models

Arvis, Jean-François; Shepherd, Ben - In: Applied economics letters 20 (2013) 4/6, pp. 515-519

Persistent link: https://www.econbiz.de/10009709349

Maximum likelihood estimation of stochastic frontier models by the Fourier transform

Tsionas, Efthymios G. - In: Journal of econometrics 170 (2012) 1, pp. 234-248

Persistent link: https://www.econbiz.de/10009673106

Monitoring multivariate process variability with individual observations via penalised likelihood estimation

Yeh, Arthur B.; Li, Bo; Wang, Kaibo - In: International journal of production research 50 (2012) 22, pp. 6624-6638

Persistent link: https://www.econbiz.de/10009673531

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Investigating finite sample properties of estimators for approximate factor models when N is small

Tanaka, Shinya; Kurozumi, Eiji - In: Economics letters 116 (2012) 3, pp. 465-468

Persistent link: https://www.econbiz.de/10009674278

Fixed effects maximum likelihood estimation of flexibly parametric proportional hazard model with an application to job exits

Light, Audrey; Omori, Yoshiaki - In: Economics letters 116 (2012) 2, pp. 236-239

Persistent link: https://www.econbiz.de/10009674479