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Vine-GARCH process : stationarity and asymptotic properties

Poignard, Benjamin; Fermanian, Jean-David - 2016

Persistent link: https://www.econbiz.de/10011854705

Inferential results for a new measure of inequality

Davydov, Youri; Greselin, Francesca - In: The econometrics journal 22 (2019) 2, pp. 153-172

Persistent link: https://www.econbiz.de/10012166709

Least-squares estimation of GARCH(1,1) models with heavy-tailed errors

Preminger, Arie; Storti, Giuseppe - In: The econometrics journal 20 (2017) 2, pp. 221-258

Persistent link: https://www.econbiz.de/10011757387

Truncated sum-of-squares estimation of fractional time series models with generalized power law trend

Hualde, Javier; Nielsen, Morten Ørregaard - 2021

consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …

Persistent link: https://www.econbiz.de/10012505331

Truncated sum of squares estimation of fractional time series models with deterministic trends

Hualde, Javier; Nielsen, Morten Ørregaard - 2020

Persistent link: https://www.econbiz.de/10012317784

Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 202 (2018) 1, pp. 92-107

Persistent link: https://www.econbiz.de/10011974555

A New Correlation Coefficient for Bivariate Time-Series Data

Erdem, Orhan; Ceyhan, Elvan; Varli, Yusuf Varlı - Murat Sertel İleri İktisadi Araştırmalar Merkezi, … - 2011

Correlation in time series has recently recieved a lot of attentions. Its usage has been getting an important role in Social Science and Finance. For example, pair trading in Finance is interested with the correlation between stock prices, returns etc. In general, Pearsonís correlation...

Persistent link: https://www.econbiz.de/10010990737

Estimating an endpoint with high-order moments

Girard, Stéphane; Guillou, Armelle; Stupfler, Gilles - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 4, pp. 697-729

We present a new method for estimating the endpoint of a unidimensional sample when the distribution function decreases at a polynomial rate to zero in the neighborhood of the endpoint. The estimator is based on the use of high-order moments of the variable of interest. It is assumed that the...

Persistent link: https://www.econbiz.de/10010994277

Second-order least-squares estimation for regression models with autocorrelated errors

Rosadi, Dedi; Peiris, Shelton - In: Computational Statistics 29 (2014) 5, pp. 931-943

generalize the theory of SLSE to regression models with autocorrelated errors. Under certain regularity conditions, we establish … the consistency and asymptotic normality of the proposed estimator and provide a simulation study to compare its … giving relatively small standard error and bias (or the mean square error) in estimating parameters of such regression models …

Persistent link: https://www.econbiz.de/10010998478

Minimum density power divergence estimator for Poisson autoregressive models

Kang, Jiwon; Lee, Sangyeol - In: Computational Statistics & Data Analysis 80 (2014) C, pp. 44-56

The robust estimation for Poisson autoregressive models is studied. As a robust estimator, a minimum density power divergence estimator (MDPDE) is considered. It is shown that under regularity conditions, the MDPDE is strongly consistent and asymptotically normal. Simulation results are provided...

Persistent link: https://www.econbiz.de/10010906929