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Higher-order asymptotic properties of QML in ß-ARCH and æ-ARCH models

Iglesias, Emma M. - In: Economics letters 93 (2006) 2, pp. 261-266

Persistent link: https://www.econbiz.de/10003391936

Testing for breaks using alternating observations

Bunzel, Helle (contributor); Iglesias, Emma M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003410382

Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models

Iglesias, Emma M.; Linton, Oliver - In: Econometric theory 23 (2007) 6, pp. 1136-1161

Persistent link: https://www.econbiz.de/10003591844

Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation

Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336

Persistent link: https://www.econbiz.de/10008990434

Modeling the volatility-return trade-off when volatility may be nonstationary

Dahl, Christian M.; Iglesias, Emma M. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009623574

Evolution over time of the determinants of preferences for redistribution and the support for the welfare state

Iglesias, Emma M.; Pena López, J. Atilano; … - In: Applied economics 45 (2013) 28/30, pp. 4260-4274

Persistent link: https://www.econbiz.de/10010346303

Capital-energy relationships : an analysis when disaggregating by industry and different types of capital

Tovar, Miguel A.; Iglesias, Emma M. - In: The energy journal 34 (2013) 4, pp. 129-150

Persistent link: https://www.econbiz.de/10010256373

Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation

Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8

Persistent link: https://www.econbiz.de/10011439601

Reconsidering the gains on efficiency from ML estimation versus OLS in ARCH models

Iglesias, Emma M.; Phillips, Garry D. A. - In: Economics letters 74 (2001) 1, pp. 21-24

Persistent link: https://www.econbiz.de/10001635125

The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models

Dahl, Christian - 2008

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...

Persistent link: https://www.econbiz.de/10012723834