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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13
This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...
Persistent link: https://www.econbiz.de/10012022130
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Predicting instability
Razzak, Weshah A. - In: Applied economics 45 (2013) 22/24, pp. 3305-3315
Persistent link: https://www.econbiz.de/10010345431
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000934888
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
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Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.; Nelson, Daniel B. - 1994
Persistent link: https://www.econbiz.de/10000899212
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GMM estimation of a stochastic volatility model : a Monte Carlo study
Andersen, Torben - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
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Continuous Record Asymptotics for Rolling Sample Variance Estimators
Foster, Dean P. - 1994
It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)...
Persistent link: https://www.econbiz.de/10012474103
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Continuous Record Asymptotics for Rolling Sample Variance Estimators
Foster, Dean P.; Nelson, Daniel B. - 2022
It is widely known that conditional covariances of asset returns change over time. Researchers adopt many strategies to accommodate conditional heteroskedasticity. Among the most popular are: (a) chopping the data into short blocks of time and assuming homoskedasticity within the blocks, (b)...
Persistent link: https://www.econbiz.de/10013311667
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Conditional Heteroskedasticity in Some Common Count Data Models for Financial Time Series Data
Brannas, Kurt - 2002
Persistent link: https://www.econbiz.de/10014107078