Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: GARCH processes: structure and estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity and ergodicity of univariate generalized autoregressive score processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kalman Filtering with Random Coefficients and Contractions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3922034 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Observation-driven models for Poisson counts / rank
 
Normal rank
Property / cites work
 
Property / cites work: Misspecified models with dependent observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3059475 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the invertibility of time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtering With Heavy Tails / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the measurability and consistency of minimum contrast estimates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255425 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Relations between Weak and Uniform Convergence of Measures with Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation in conditionally heteroscedatic time series models. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Note on the Consistency of the Maximum Likelihood Estimate / rank
 
Normal rank
Property / cites work
 
Property / cites work: Using Least Squares to Approximate Unknown Regression Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Misspecified Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model / rank
 
Normal rank

Revision as of 13:13, 15 July 2024

scientific article
Language Label Description Also known as
English
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
scientific article

    Statements

    Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    25 April 2018
    0 references
    consistency
    0 references
    invertibility
    0 references
    maximum likelihood estimation
    0 references
    observation-driven models
    0 references
    stochastic recurrence equations
    0 references
    0 references
    0 references
    0 references

    Identifiers