Estimation of SEM with GARCH errors
From MaRDI portal
Publication:1927102
DOI10.1016/j.csda.2012.03.006zbMath1254.91755MaRDI QIDQ1927102
Ilir Roko, Andi Kabili, Jaya Krishnakumar
Publication date: 30 December 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:41670
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62M09: Non-Markovian processes: estimation
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Analytical quasi maximum likelihood inference in multivariate volatility models
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Asymmetric multivariate normal mixture GARCH
- Multivariate mixed normal conditional heteroskedasticity
- Simultaneous equations with error components
- Estimation of simultaneous equation models with error components structure
- Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
- Robust estimators for simultaneous equations models
- Analytical score for multivariate GARCH models
- Multivariate GARCH Models
- Pseudo Maximum Likelihood Methods: Theory
- Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Autoregressive Conditional Density Estimation
- A Family of Variable-Metric Methods Derived by Variational Means
- The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
- A new approach to variable metric algorithms
- The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations
- Conditioning of Quasi-Newton Methods for Function Minimization
- The Statistical Implications of a System of Simultaneous Equations
- Maximum Likelihood Estimation of Misspecified Models
