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~institution:"Department of Economics, Oxford University"
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Search: subject:"Quasi-Maximum-Likelihood"
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Bid and Ask Curves
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Cubic Spline
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Electronic Limit Order Book
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Kalman Filter
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Quasi-Maximum Likelihood
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Economics Series Working Papers / Department of Economics, Oxford University
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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
-
Department of Economics, Oxford University
-
2008
. Strong consistency and asymptotic normality of the global Gaussian
quasi
maximum
likelihood
(QML) estimator are established …
Persistent link: https://www.econbiz.de/10005051110
Saved in:
2
Modelling the Dynamics of Cross-Sectional Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
Bowsher, Clive
-
Department of Economics, Oxford University
-
2003
performed using
quasi-maximum
likelihood
methods based on the Kalman filter. The model is used to provide one of the first …
Persistent link: https://www.econbiz.de/10010605209
Saved in:
3
Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
Bowsher, Clive
-
Department of Economics, Oxford University
-
2004
performed using
quasi-maximum
likelihood
methods based on the Kalman filter. The model is used to provide one of the first …
Persistent link: https://www.econbiz.de/10010661371
Saved in:
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