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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
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Asymptotic properties of the weighted-average least squares (WALS) estimator
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2022
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013164245
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Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012795401
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …
Persistent link: https://www.econbiz.de/10012547429
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011477452
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The divergence of the high and low frequency estimation : causes and consequences
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: May 2, 2014
Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...
Persistent link: https://www.econbiz.de/10010353307
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The divergence of high- and low-frequency estimation : implications for performance measurement
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: July 24, 2014
The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...
Persistent link: https://www.econbiz.de/10010387204
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How much should we trust differences-in-differences estimates?
Bertrand, Marianne (contributor); Duflo, Esther (contributor) - 2001 - [Elektronische Ressource]
Most Difference-in-Difference (DD) papers rely on many years of data and focus on serially correlated outcomes. Yet almost all these papers ignore the bias in the estimated standard errors that serial correlation introduces. This is especially troubling because the independent variable of...
Persistent link: https://www.econbiz.de/10001620672
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Profiled Forward Regression for Ultrahigh Dimensional Variable Screening in Semiparametric Partially Linear Models
Liang, Hua - 2011
In partially linear model selection, we develop a profiled forward regression (PFR) algorithm for ultrahigh dimensional variable screening. The PFR algorithm effectively combines the ideas of nonparametric profiling and forward regression. This allows us to obtain a uniform bound for the...
Persistent link: https://www.econbiz.de/10013131150