Joint estimation using quadratic estimating function
From MaRDI portal
Recommendations
- Generalized duration models and optimal estimation using estimating functions
- Combined estimating function for random coefficient models with correlated errors
- Inference for random coefficient volatility models
- Estimation of multivariate non-linear time series models
- Nonlinear recursive estimation of volatility via estimating functions
Cites work
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Combining estimating functions for volatility
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Estimating functions for nonlinear time series models
- Filtering and Smoothing Via Estimating Functions
- On linear and quadratic estimating functions
- Prediction via estimating functions
- SOME DOUBLY STOCHASTIC TIME SERIES MODELS
- THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I
- The foundations of finite sample estimation in stochastic processes
- Transform martingale estimating functions
- Using empirical partially Bayes inference for increased efficiency
Cited in
(7)- Modeling financial durations using penalized estimating functions
- Estimating function method for product autoregressive models
- Inference for random coefficient volatility models
- Estimating function method for nonnegative autoregressive models
- Combined estimating function for random coefficient models with correlated errors
- Estimation, filtering and smoothing in the stochastic conditional duration model: an estimating function approach
- Generalized duration models and optimal estimation using estimating functions
This page was built for publication: Joint estimation using quadratic estimating function
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q642439)
