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Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …
Persistent link: https://www.econbiz.de/10010500222
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ML-Estimation in the Location-Scale-Shape Model of the Generalized Logistic Distribution
Abberger, Klaus - 2002
A three parameter (location, scale, shape) generalization of the logistic distribution is fitted to data. Local maximum likelihood estimators of the parameters are derived. Although the likelihood function is unbounded, the likelihood equations have a consistent root. ML-estimation combined with...
Persistent link: https://www.econbiz.de/10010324051
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Maximum likelihood estimation of the symmetric and asymmetric exponential power distribution
Bottazzi, Giulio; Secchi, Angelo - 2008
We introduce a new 5-parameter family of distributions, the Asymmetric Exponential Power (AEP), able to cope with asymmetries and leptokurtosis and at the same time allowing for a continuous variation from non-normality to normality. We prove that the Maximum Likelihood (ML) estimates of the AEP...
Persistent link: https://www.econbiz.de/10010328554
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A quasi maximum likelihood approach for large approximate dynamic factor models
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - 2006
This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...
Persistent link: https://www.econbiz.de/10011604720
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10010264085
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Tyler's M-estimator, random matrix theory, and generalized elliptical distributions with applications to finance
Frahm, Gabriel; Jaekel, Uwe - 2007
In recent publications standard methods of random matrix theory were applied to principal components analysis of high …-dimensional financial data. We discuss the fundamental results and potential shortcomings of random matrix theory in the light of the … a general model for the investigation of standard methods of random matrix theory. It is shown that the Marčenko …
Persistent link: https://www.econbiz.de/10010298431
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Spline Smoothing over Difficult Regions
Koopman, Siem Jan; Wong, Soon Yip - 2008
We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...
Persistent link: https://www.econbiz.de/10010325665
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10010325845
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The patterns of output growth of firms and countries: New evidence on scale invariances and specificities
Castaldi, Carolina; Dosi, Giovanni - 2007
This work brings together two distinct pieces of evidence concerning, at the macro level, international distributions of incomes and their dynamics, and, at the micro level, the size distributions of firms and the properties of their growth rates. First, our empirical analysis provides a new...
Persistent link: https://www.econbiz.de/10010328462
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Robust risk management: accounting for nonstationarity and heavy tails
Chen, Ying; Spokoiny, Vladimir - 2007
process is considered. A complete theory addresses both issues. In our study, we demonstrate the implementation of the …
Persistent link: https://www.econbiz.de/10010263671