Similar Search Results

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702284

Parametric inference for diffusion processes observed at discrete points in time : a survey

Sørensen, Helle (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702316

Small diffusion asymptotics for discretely sampled stochastic differential equations

Sørensen, Michael (contributor); … - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001660122

Multivariate regression with monotone missing observation of the dependent variables

Raats, V. M. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001692504

Maximum likelihood estimation and specification test of the proportional hazard model using grouped durations

Ryu, Keunkwan (contributor) - 2001 - [Elektronische Ressource]

This article develops parametric and semi-parametric, maximum likelihood estimation methods of the proportional hazard model for the case when durations are grouped and heterogeneity is not fully measured. This article also extends Ryu’s (1994b) specification tests for the proportional hazard...

Persistent link: https://www.econbiz.de/10001644278

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...

Persistent link: https://www.econbiz.de/10001644307

Estimating quadratic term structure models by non-linear filtering

Taulbjerg, Jes (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001709219

Backpropagation neural network versus translog model in stochastic frontiers : a Monte Carlo comparison

Guermat, Cherif; Hadri, Kaddour - 1999

Persistent link: https://www.econbiz.de/10001398347

Simulated likelihood approximations for stochastic volatility models

Sørensen, Helle (contributor) - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001563848