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An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu; Bohn Nielsen, Heino; Rahbek, Anders - 2009
Persistent link: https://www.econbiz.de/10003863153
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Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - 2015
Persistent link: https://www.econbiz.de/10010529443
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Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger; Floor Brix, Anne - 2013
Persistent link: https://www.econbiz.de/10009763883
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Maximum likelihood estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - 2015
Persistent link: https://www.econbiz.de/10011409357
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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2016
Persistent link: https://www.econbiz.de/10011624059
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Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina; Teräsvirta, Timo - 2017
Persistent link: https://www.econbiz.de/10011721042
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
Persistent link: https://www.econbiz.de/10012317765
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2020
Persistent link: https://www.econbiz.de/10012317803
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Linearity testing in time-varying smooth transition autoregressive models under unknown degree of persistence
Kruse, Robinson; Sandberg, Rickard - 2010
Persistent link: https://www.econbiz.de/10008651719
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Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo; Yang, Yukai - 2014
Persistent link: https://www.econbiz.de/10010336592