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Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - 2018

Persistent link: https://www.econbiz.de/10011992635

Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model

Dēmos, Antōnēs A.; Kyriakopoulou, Dimitra - In: Journal of time series econometrics 11 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012022815

On the efficacy of optimized exit rule for mean reversion trading

Lee, Donovan; Leung, Tim - In: International journal of financial engineering 7 (2020) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10012603008

The identification of outliers in exponential samples

Schultze, Verena; Pawlitschko, Jörg - 1998

In this paper the task of identifying outliers in exponential samples is treated conceptionally in the sense of Davies and Gather (1989, 1993) by means of a so called outlier region. In case of an exponential distribution, an empirical approximation of such a region also called an outlier...

Persistent link: https://www.econbiz.de/10010467718

Estimation of integrated quadratic covariation with endogenous sampling times

Potiron, Yoann; Mykland, Per A. - In: Journal of econometrics 197 (2017) 1, pp. 20-41

Persistent link: https://www.econbiz.de/10011818337

An automatic bias correction procedure for volatility estimation using extreme values of asset prices

Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712

Persistent link: https://www.econbiz.de/10010194420

Expected shortfall estimation and Gaussian inference for infinite variance time series

Hill, Jonathan B. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10010519664

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

convergence rate of the QML estimators has not been formally studied, and methods for correcting finite sample bias of the QML … estimators have not been given. This paper fills in these gaps. Of the two, bias correction is particularly important to the … those for the SLD model in terms of the rate of convergence and the magnitude of bias. Monte Carlo results show that the …

Persistent link: https://www.econbiz.de/10011297624