Similar Search Results

A class of indirect inference estimators : higher-order asymptotics and approximate bias correction

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: The econometrics journal 18 (2015) 2, pp. 200-241

Persistent link: https://www.econbiz.de/10011378482

Valid locally uniform edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: Journal of time series econometrics 6 (2014) 2, pp. 183-235

Persistent link: https://www.econbiz.de/10010401116

On the validity of edgeworth expansions and moment approximations for three indirect inference estimators

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: Journal of econometric methods 7 (2018) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011945873

Testing for GARCH effects : a one-sided approach

Dēmos, Antōnēs A. - In: Journal of econometrics 86 (1998) 1, pp. 97-127

Persistent link: https://www.econbiz.de/10001243865

Testing for GARCH effects : a one-sided approach

Dēmos, Antōnēs A.; Sentana, Enrique - 1996

Persistent link: https://www.econbiz.de/10000948472

Risk and return in January : some UK evidence

Dēmos, Antōnēs A. - In: Econometric analysis of financial markets, (pp. 185-202). 1994

Persistent link: https://www.econbiz.de/10001284429

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - In: Journal of time series econometrics 11 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012022815

Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

A note on the QMLE limit theory in the non-stationary ARCH(1) model

Arvanitis, Stelios; Louka, Alexandros - In: Journal of time series econometrics 8 (2016) 1, pp. 21-39

Persistent link: https://www.econbiz.de/10011440450

Martingale Transforms with Mixed Stable Limits and the QMLE for Conditionally Heteroskedastic Models

Arvanitis, Stelios - 2017

We derive a limit theorem for appropriately centered and scaled martingale transforms of the form sum_{i=1}^{n}\xi_{i}V_{i} to mixed-stable limits when (\xi_{i})_{i\in\mathbb{Z}} is an iid sequence in the domain of attraction of an alpha-stable distribution where alpha\in(0,2]. Using the...

Persistent link: https://www.econbiz.de/10012959441