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~institution:"Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro"
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explosive regimes
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quasi-maximum likelihood
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sieve estimation
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smooth transition
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stationarity
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Fernandes, Marcelo
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Medeiros, Marcelo Cunha
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Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo
;
Medeiros, Marcelo Cunha
;
Veiga, Alvaro
-
Departamento de Economia, Pontifícia Universidade …
-
2006
as well as the existence, consistency, and asymptotic normality of the
quasi-maximum
likelihood
(QML) estimator for the …
Persistent link: https://www.econbiz.de/10005534088
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