Showing 1 - 10 of 10
We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These models have important applications in empirical work. The regions are derived from sufficiency conditions in Bougerol (1993) and take a non-standard form. We show...
Persistent link: https://www.econbiz.de/10010326270
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010491303
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...
Persistent link: https://www.econbiz.de/10011586697
Persistent link: https://www.econbiz.de/10011819465
We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These models have important applications in empirical work. The regions are derived from sufficiency conditions in Bougerol (1993) and take a non-standard form. We show...
Persistent link: https://www.econbiz.de/10011255560
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10011272581
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....
Persistent link: https://www.econbiz.de/10011699508
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...
Persistent link: https://www.econbiz.de/10011556144
Persistent link: https://www.econbiz.de/10012038166