Narrow search
Showing 1 - 10 of 99
Cover Image
Chapter 9. Analysis of Numerical Errors
Peralta-Alva, Adrian; Santos, Manuel S. - In: Handbook of computational economics : volume 3, (pp. 517-556). 2014
This paper provides a general framework for the quantitative analysis of stochastic dynamic models. We review the convergence properties of some numerical algorithms and available methods to bound approximation errors. We then address the convergence and accuracy properties of the simulated...
Persistent link: https://www.econbiz.de/10014025713
Cover Image
Quasi-maximum likelihood estimation of break point in high-dimensional factor models
Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236
Persistent link: https://www.econbiz.de/10014340997
Cover Image
Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
Cover Image
Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334
Persistent link: https://www.econbiz.de/10015196603
Cover Image
Score-driven time-varying parameter models with splinebased densities
Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
Persistent link: https://www.econbiz.de/10015198647
Cover Image
Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Cover Image
A predictive functional regression model for asset return
Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311
Persistent link: https://www.econbiz.de/10010239559
Cover Image
Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
Cover Image
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Tinkl, Fabian - 2013
In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency … normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …
Persistent link: https://www.econbiz.de/10009725214
Cover Image
Analysis of numerical errors
Peralta-Alva, Adrian; Santos, Manuel - 2012
Persistent link: https://www.econbiz.de/10009681262