Observation-driven filtering of time-varying parameters using moment conditions
From MaRDI portal
Publication:6193078
DOI10.1016/j.jeconom.2023.105635MaRDI QIDQ6193078
André Lucas, Siem Jan Koopman, Marcin Zamojski, Drew D. Creal
Publication date: 13 February 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Linear and nonlinear regression with stable errors
- The method of simulated quantiles
- Estimation for multivariate stable distributions with generalized empirical likelihood
- Estimation of stable distributions by indirect inference
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Estimating stable latent factor models by indirect inference
- Generalized autoregressive conditional heteroscedasticity
- Applications of the characteristic function-based continuum GMM in finance
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Maximum likelihood estimation for score-driven models
- GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
- Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
- Dynamic Models for Volatility and Heavy Tails
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Empirical Characteristic Function Estimation and Its Applications
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Asymptotic Filtering Theory for Univariate Arch Models
- Filtering With Heavy Tails
- Univariate Stable Distributions
- Information-theoretic optimality of observation-driven time series models for continuous responses
- An Optimum Property of Regular Maximum Likelihood Estimation
- Robust inference with GMM estimators
This page was built for publication: Observation-driven filtering of time-varying parameters using moment conditions