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Estimating the model for seasoned equity offering underpricing : application to the Chinese financial market

Chung, Chune Young; Liu, Chang - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1472-1480

Persistent link: https://www.econbiz.de/10011563542

Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …) models, known as the ARCH in Mean (ARCH-M)model. The estimation of ARCH models isrelatively easy compared with that of the …

Persistent link: https://www.econbiz.de/10011303314

Maximum likelihood estimation of stochastic volatility models

Sandmann, Gleb; Koopman, Siem Jan - 1996

Persistent link: https://www.econbiz.de/10000953379

Quasi-maximum likelihood estimation of volatility with high frequency data

Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250

Persistent link: https://www.econbiz.de/10008839925

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308