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Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

Persistent link: https://www.econbiz.de/10009719116

On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes

Janečková, Hana - In: Bulletin of the Czech Econometric Society 9 (2002)

In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with...

Persistent link: https://www.econbiz.de/10008473447

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

distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

Persistent link: https://www.econbiz.de/10012022130

Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets

Mollah, Sabur - 2015

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...

Persistent link: https://www.econbiz.de/10013017294

Efficient estimation in heteroscedastic varying coefficient models

Wei, Chuanhua; Wan, Lijie - In: Econometrics : open access journal 3 (2015) 3, pp. 525-531

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct...

Persistent link: https://www.econbiz.de/10011297551

Misspecified heteroskedasticity in the panel probit model : a small sample comparison of GMM and SML estimators

Inkmann, Joachim - 1999

This paper compares generalized method of moments (GMM) and simulated maximum likeli- hood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance...

Persistent link: https://www.econbiz.de/10011545114

On Multivariate Methods in Robust Econometrics

Kalina, Jan - In: Prague Economic Papers 2012 (2012) 1, pp. 69-82

estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics …. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For … a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we …

Persistent link: https://www.econbiz.de/10011195573

Estimation of a heteroscedastic binary choice model with an endogenous dummy regressor

Zhang, Zhengyu; He, Xiaobo - In: Economics Letters 117 (2012) 3, pp. 753-757

Estimating binary choice models with endogeneity is of considerable importance in microeconometrics. The leading control function approach does not apply when the endogenous variable is binary. We propose a multi-stage estimation procedure for a heteroscedastic binary choice model with an...

Persistent link: https://www.econbiz.de/10010594158

Efficient estimation in heteroscedastic varying coefficient models

Wei, Chuanhua; Wan, Lijie - In: Econometrics 3 (2015) 3, pp. 525-531

Persistent link: https://www.econbiz.de/10011755291

Using Bootstrap In Some Volatility Models

Prášková, Zuzana - In: Bulletin of the Czech Econometric Society 7 (2000)

heteroscedasticity for daily returns are studied. Volatility of monthly relative changes computed as a product of daily changes is …

Persistent link: https://www.econbiz.de/10008528874