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Estimation of stable distributions by indirect inference
GARCIA, René; RENAULT, Eric; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2006
This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method …
Persistent link: https://www.econbiz.de/10005008171
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Indirect estimation of elliptical stable distributions
LOMBARDI, Marco; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2007
We present an indirect estimation approach for elliptical stable distributions which relies on the use of a …
Persistent link: https://www.econbiz.de/10005043048
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A GARCH (1,1) estimator with (almost) no moment conditions on the error term
PREMINGER, Arie; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2006
A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of …
Persistent link: https://www.econbiz.de/10005008182
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Efficient importance sampling for ML estimation of SCD models
BAUWENS, Luc; GALLI, Fausto - Center for Operations Research and Econometrics (CORE), … - 2007
. We compare EIS-based ML estimation with QML estimation based on the Kalman filter. We find that EIS-ML estimation is more …
Persistent link: https://www.econbiz.de/10005008384
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A nonparametric copula based test for conditional independence with applications to Granger causality
BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen; TAAMOUTI, Abderrahim - Center for Operations Research and Econometrics (CORE), … - 2009
Persistent link: https://www.econbiz.de/10008550166
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Autoregressive moving average infinite hidden markov-switching models
Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2015
chain Monte Carlo estimation method that solves the path dependence issue due to the moving average component. Empirical …
Persistent link: https://www.econbiz.de/10011246294
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Specific Markov-switching behaviour for ARMA parameters
CARPANTIER, Jean-François; DUFAYS, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2014
We propose an estimation method that circumvents the path dependence problem existing in Change-Point (CP) and Markov …
Persistent link: https://www.econbiz.de/10011094059
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Marginal likelihood for Markov-switching and change-point GARCH models
BAUWENS, Luc; DUFAYS, Arnaud; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2011
process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010610474
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Option pricing with asymmetric heteroskedastic normal mixture models
ROMBOUTS, Jeroen V. K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010
, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When …
Persistent link: https://www.econbiz.de/10008836162
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Estimating and forecasting structural breaks in financial time series
BAUWENS, Luc; DUFAYS, Arnaud; DE BACKER, Bruno - Center for Operations Research and Econometrics (CORE), … - 2011
We present an algorithm, based on a differential evolution MCMC method, for Bayesian inference in AR-GARCH models subject to an unknown number of structural breaks at unknown dates. Break dates are directly treated as parameters and the number of breaks is determined by the marginal likelihood...
Persistent link: https://www.econbiz.de/10010927663