Quasi score-driven models (Q2697985)

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Language	Label	Description	Also known as
English	Quasi score-driven models	scientific article

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scholarly article

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Quasi score-driven models (English)

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10.1016/j.jeconom.2021.12.005

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Francisco Blasques

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Christian Francq

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Sébastien Laurent

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Journal of Econometrics

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publication date

14 April 2023

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

score-driven models

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GARCH

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fat-tails

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asymmetry

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QLE

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QMLE

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2021.12.005

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Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

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The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.

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Maximum likelihood estimation for score-driven models

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Kalman Filtering with Random Coefficients and Contractions

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Asymptotic efficiency in estimation with conditional moment restrictions

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Estimating functions for nonlinear time series models

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Stochastic Limit Theory

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Misspecified models with dependent observations

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On Bayesian Modeling of Fat Tails and Skewness

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On inconsistent M-estimators

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An Optimum Property of Regular Maximum Likelihood Estimation

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The foundations of finite sample estimation in stochastic processes

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Pseudo Maximum Likelihood Methods: Theory

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A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

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Autoregressive Conditional Density Estimation

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Volatility Modeling with a Generalized<i>t</i>Distribution

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Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set

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Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach

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Efficient Instrumental Variables Estimation of Nonlinear Models

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TESTING GARCH-X TYPE MODELS

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Maximum Likelihood Estimation of Misspecified Models

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A generalized asymmetric Student-\(t\) distribution with application to financial econometrics

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mardi Publication:2697985

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