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Rank-based estimation for GARCH processes
Andrews, Beth - In: Econometric theory 28 (2012) 5, pp. 1037-1064
Persistent link: https://www.econbiz.de/10009714725
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Zero-variance importance sampling estimators for Markov process expectations
Awad, Hernan P.; Glynn, Peter W.; Rubinstein, Reuven Y. - In: Mathematics of operations research 38 (2013) 2, pp. 358-388
Persistent link: https://www.econbiz.de/10009751518
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Testing of the mean reversion parameter in continuous time models
Iglesias, Emma M. - In: Economics letters 122 (2014) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10010395196
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Empirical likelihood test for causality of bivariate AR(1) processes
Li, Deyuan; Chan, Ngai Hang; Lian, Peng - In: Econometric theory 30 (2014) 2, pp. 357-371
Persistent link: https://www.econbiz.de/10010399760
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Some exact and inexact linear rational expectation models in vector autoregressive models
Swensen, Anders Rygh - In: Economics letters 123 (2014) 2, pp. 216-219
Persistent link: https://www.econbiz.de/10010400289
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Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
Kim, Dukpa - In: Economics letters 123 (2014) 3, pp. 282-286
Persistent link: https://www.econbiz.de/10010401375
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Estimating PIN for firms with high levels of trading
Jackson, David - In: Journal of empirical finance 24 (2013), pp. 116-120
Persistent link: https://www.econbiz.de/10010371986
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Indirect likelihood inference
Creel, Michael D.; Kristensen, Dennis - 2011
Persistent link: https://www.econbiz.de/10010374849
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Maximum likelihood estimation of partially observed diffusion models
Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - In: Journal of econometrics 180 (2014) 1, pp. 73-80
Persistent link: https://www.econbiz.de/10010379484
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Asymptotic inference in multiple-threshold nonlinear time series models
Li, Dong; Ling, Shiqing; Zakoïan, Jean-Michel - 2013
Persistent link: https://www.econbiz.de/10010348527