Similar Search Results

Selecting the order of an ARCH model

Hughes, Anthony W.; King, Maxwell L.; Teng, Kwek Kian - In: Economics letters 83 (2004) 2, pp. 269-275

Persistent link: https://www.econbiz.de/10001991685

Dynamic optimal portfolio selection in a VaR framework

Rengifo, Erick W.; Rombouts, Jeroen V. K. - 2004

Persistent link: https://www.econbiz.de/10002347876

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis; Rahbek, Anders - In: Econometric theory 21 (2005) 5, pp. 946-961

Persistent link: https://www.econbiz.de/10003101947

Asymptotics of the QMLE for a class of ARCH(q) models

Kristensen, Dennis (contributor); Rahbek, Anders (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001702284

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...

Persistent link: https://www.econbiz.de/10001644307

Maximum likelihood estimation of STAR and STAR-GARCH models : theory and Monte Carlo evidence

Chan, Felix; McAleer, Michael - In: Journal of applied econometrics 17 (2002) 5, pp. 509-534

Persistent link: https://www.econbiz.de/10001709313

Analytical quasi maximum likelihood inference in multivariate volatility models

Hafner, Christian M. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001784026

Reconsidering the gains on efficiency from ML estimation versus OLS in ARCH models

Iglesias, Emma M.; Phillips, Garry D. A. - In: Economics letters 74 (2001) 1, pp. 21-24

Persistent link: https://www.econbiz.de/10001635125

Identification, estimation and testing of conditionally heteroskedastic factor models

Sentana, Enrique; Fiorentini, Gabriele - In: Journal of econometrics 102 (2001) 2, pp. 143-164

Persistent link: https://www.econbiz.de/10001580599

Efficiency comparisons of maximum-likelihood-based estimators in GARCH models

González-Rivera, Gloria; Drost, Feike C. - In: Journal of econometrics 93 (1999) 1, pp. 93-111

Persistent link: https://www.econbiz.de/10001406643