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Multivariate contemporaneous threshold autoregressive models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - 2007
Persistent link: https://www.econbiz.de/10003740624
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Likelihood functions for state space models with diffuse initial conditions
Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008
Persistent link: https://www.econbiz.de/10003706020
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.; Xiu, Dacheng - 2012
Persistent link: https://www.econbiz.de/10009531407
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Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.; Xiu, Dacheng - 2012
Persistent link: https://www.econbiz.de/10009532682
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Classical and Bayesian analysis of univariate and multivariate stochastic volatility models
Liesenfeld, Roman (contributor);  … - 2004 - [Elektronische Ressource]
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893
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Who's afraid of reduced-rank parameterizations of multivariate models? : Theory and example
Gilbert, Scott; Zemčík, Petr - 2004
Persistent link: https://www.econbiz.de/10002136265
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A statistical framework for the analysis of multivariate infectious disease surveillance data
Held, Leonhard (contributor); Höhle, Michael (contributor);  … - 2004
A framework for the statistical analysis of counts from infectious disease surveillance database is proposed. In its simplest form, the model can be seen as a Poisson branching process model with immigration. Extensions to include seasonal effects, time trends and overdispersion are outlined....
Persistent link: https://www.econbiz.de/10002726838
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Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, Christian M. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001784026
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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux …(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the …
Persistent link: https://www.econbiz.de/10003970462
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2009
Persistent link: https://www.econbiz.de/10003937094