Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …

The paper proposes two estimation approaches for duration models that are subject to right censored observations and …

variable x2. To explore interaction effects, so-called interaction terms x1x2 are typically included in estimation …

using complete data methods. Estimation and inference uses Reiter's (Survey Methodology 2003) formulae. Using Current …

using complete data methods. Estimation and inference uses Reiter's (Survey Methodology 2003) formulae. Using Current …

This paper proposes a method to implement maximum likelihood estimation of the dynamic panel data type 2 and 3 tobit …