Maximum likelihood estimation for a nearly random walk model
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Publication:4541715
DOI10.1080/03610920008832509zbMath1018.62070MaRDI QIDQ4541715
Publication date: 28 July 2002
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920008832509
maximum likelihood estimates; reparameterization; structural model; exact likelihood function; stock market returns; nearly unit root
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F10: Point estimation
91B84: Economic time series analysis
Cites Work