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Search: subject:"Quasi-Maximum-Likelihood"
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Maximum likelihood estimation
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Anatolyev, Stanislav
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Asai, Manabu
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Khrapov, Stanislav
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Estimation of realized asymmetric stochastic volatility models using Kalman filter
Asai, Manabu
- In:
Econometrics : open access journal
11
(
2023
)
3
,
pp. 1-13
that, in a finite sample, the
quasi-maximum
likelihood
estimator based on the Kalman filter is competitive with the two …
Persistent link: https://www.econbiz.de/10014425668
Saved in:
2
Right on target, or is it? : the role of distributional shape in variance targeting
Anatolyev, Stanislav
;
Khrapov, Stanislav
- In:
Econometrics : open access journal
3
(
2015
)
3
,
pp. 610-632
Estimation of GARCH models can be simplified by augmenting
quasi-maximum
likelihood
(QML) estimation with variance …
Persistent link: https://www.econbiz.de/10011410634
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