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Estimating the marginal law of a time series with applications to heavy-tailed distributions

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 412-425

Persistent link: https://www.econbiz.de/10010337860

Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015073910

Estimating and testing skewness in a stochastic volatility model

Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467

Persistent link: https://www.econbiz.de/10014476881

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter

Kim, Young Min; Kang, Kyu Ho - In: Econometric reviews 38 (2019) 10, pp. 1109-1130

Persistent link: https://www.econbiz.de/10012181397

Modeling dependence between loss triangles with hierarchical Archimedean copulas

Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 577-599

Persistent link: https://www.econbiz.de/10011397265

The identification of outliers in exponential samples

Schultze, Verena; Pawlitschko, Jörg - 1998

In this paper the task of identifying outliers in exponential samples is treated conceptionally in the sense of Davies and Gather (1989, 1993) by means of a so called outlier region. In case of an exponential distribution, an empirical approximation of such a region also called an outlier...

Persistent link: https://www.econbiz.de/10010467718

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

Estimation of integrated quadratic covariation with endogenous sampling times

Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41

Persistent link: https://www.econbiz.de/10011818337

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

We consider likelihood inference and state estimation by means of importance sampling for state space models with a … are presented that lead to a more effective implementation of importance sampling for state space models. An illustration …

Persistent link: https://www.econbiz.de/10011348357