Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
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Publication:5225252
DOI10.3982/ECTA14727zbMath1420.62412OpenAlexW2883870641MaRDI QIDQ5225252
Christian Gouriéroux, Jean-Michel Zakoian, Alain Monfort
Publication date: 19 July 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta14727
identificationconsistencystochastic volatilitytransformation modelspatial interactionspseudo-maximum likelihoodconditional heteroscedasticity
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Point estimation (62F10)
Related Items
Consistent non-Gaussian pseudo maximum likelihood estimators, Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations, Maximum likelihood estimation for score-driven models
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Cites Work
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