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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

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

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

Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10009624466

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

Some pitfalls in smooth transition models estimation : a Monte Carlo study

Maugeri, Novella - In: Computational economics 44 (2014) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10010489076

Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models

Tinkl, Fabian - 2013 - [Aktualisierte Version]

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of … GARCH models as special cases. The results are obtained under mild conditions. -- Asymptotic normality ; consistency …

Persistent link: https://www.econbiz.de/10009738169

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 …

Persistent link: https://www.econbiz.de/10011477452

Nonlinear regressions with nonstationary time series

Chan, Nigel; Wang, Qiying - In: Journal of econometrics 185 (2015) 1, pp. 182-195

Persistent link: https://www.econbiz.de/10011339876

A time-varying parameter model for local explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018

the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …

Persistent link: https://www.econbiz.de/10011928329