Quasi score-driven models

DOI10.1016/J.JECONOM.2021.12.005MaRDI QIDQ2697985zbMATH OpenOpenAlexFDO

Authors Francisco Blasques, C. Francq, Sébastien Laurent

Publication date 14 April 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.12.005

zbMATH Keywords

asymmetryfat-tailsGARCHQLEQMLEscore-driven models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• Semiparametric estimation of quasi-score
• The Quasi-score statistic in quasi-likelihood model
• On quasi-score processes
• A Quasi-Score Marginal Approach In Generalized Linear Mixed Models
• Maximum likelihood estimation for score-driven models
• On approach for modelling of behavioural scoring
• Quadratic prediction of factor scores

Cites work

• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• An Optimum Property of Regular Maximum Likelihood Estimation
• Asymptotic efficiency in estimation with conditional moment restrictions
• Autoregressive Conditional Density Estimation
• Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Estimating functions for nonlinear time series models
• scientific article; zbMATH DE number 3163319 (Why is no real title available?)
• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• scientific article; zbMATH DE number 3569699 (Why is no real title available?)
• scientific article; zbMATH DE number 1324089 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• Kalman Filtering with Random Coefficients and Contractions
• Maximum likelihood estimation for score-driven models
• Maximum Likelihood Estimation of Misspecified Models
• Misspecified models with dependent observations
• On Bayesian Modeling of Fat Tails and Skewness
• On inconsistent M-estimators
• Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set
• Pseudo Maximum Likelihood Methods: Theory
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Stochastic Limit Theory
• Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
• Testing GARCH-X type models
• The foundations of finite sample estimation in stochastic processes
• The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
• Volatility modeling with a generalized t distribution

Cited in

(8)

• Optimal estimating function for weak location‐scale dynamic models
• Autoregressive conditional betas
• Unobserved component models, approximate filters and dynamic adaptive mixture models
• Finite moments testing in a general class of nonlinear time series models
• An order-invariant score-driven dynamic factor model
• Volatility forecasting using quasi-score-driven models with an application to the coronavirus pandemic period
• Generalized Autoregressive Conditional Betas: Longitudinal Feedback in Multifactor Asset Pricing
• The continuous-time limit of quasi score-driven volatility models

This page was built for publication: Quasi score-driven models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2697985)