Showing 1 - 10 of 26
Persistent link: https://www.econbiz.de/10000958115
Persistent link: https://www.econbiz.de/10000958222
Persistent link: https://www.econbiz.de/10000959380
Persistent link: https://www.econbiz.de/10000960148
This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of...
Persistent link: https://www.econbiz.de/10002465203
This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...
Persistent link: https://www.econbiz.de/10001600058
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found...
Persistent link: https://www.econbiz.de/10001693116
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...
Persistent link: https://www.econbiz.de/10001714621
Persistent link: https://www.econbiz.de/10001604448