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Author : Xiaorui Zhu
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book Adaptive Quasi-Maximum Likelihood Estimation of GARCH Models with Student's T Likelihood written by Xiaorui Zhu and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jianqing Fan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods written by Jianqing Fan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing the heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter that is critical to the identification, and propose a two-step quasi maximum likelihood procedure with non-Gaussian likelihood functions. This novel approach is consistent and asymptotically normal under weak moment conditions. Moreover, it achieves better efficiency than the Gaussian alternative, particularly when the innovation error has heavy tails. We also summarize and compare the values of the scale parameter and the asymptotic efficiency for estimators based on different choices of likelihood functions with an increasing level of heaviness in the innovation tails. Numerical studies confirm the advantages of the proposed approach.
Author : T. Fomby
Publisher : Elsevier
ISBN 13 : 0762310758
Total Pages : 266 pages
Book Rating : 4.7/5 (623 download)
Download or read book Maximum Likelihood Estimation of Misspecified Models written by T. Fomby and published by Elsevier. This book was released on 2003-12-12 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comparative study of pure and pretest estimators for a possibly misspecified two-way error component model / Badi H. Baltagi, Georges Bresson, Alain Pirotte -- Estimation, inference, and specification testing for possibly misspecified quantile regression / Tae-Hwan Kim, Halbert White -- Quasimaximum likelihood estimation with bounded symmetric errors / Douglas Miller, James Eales, Paul Preckel -- Consistent quasi-maximum likelihood estimation with limited information / Douglas Miller, Sang-Hak Lee -- An examination of the sign and volatility switching arch models under alternative distributional assumptions / Mohamed F. Omran, Florin Avram -- estimating a linear exponential density when the weighting matrix and mean parameter vector are functionally related / Chor-yiu Sin -- Testing in GMM models without truncation / Timothy J. Vogelsang -- Bayesian analysis of misspecified models with fixed effects / Tiemen Woutersen -- Tests of common deterministic trend slopes applied to quarterly global temperature data / Thomas B. Fomby, Timothy J. Vogelsang -- The sandwich estimate of variance / James W. Hardin -- Test statistics and critical values in selectivity models / R. Carter Hill, Lee C. Adkins, Keith A. Bender -- Introduction / Thomas B Fomby, R. Carter Hill.
Author : Juan Carlos Escanciano
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models written by Juan Carlos Escanciano and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note proves the consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) of the parameters of a GARCH model with martingale difference centered squared innovations. The results are obtained under mild conditions and generalize and improve those in Lee and Hansen (1994) for the local QMLE in semi-strong GARCH(1,1) models. In particular, no restrictions on the conditional mean are imposed. Our proofs closely follow those in Francq and Zakoian (2004) for independent and identically distributed innovations.
Author : Christopher C. Heyde
Publisher : Springer Science & Business Media
ISBN 13 : 0387226796
Total Pages : 236 pages
Book Rating : 4.3/5 (872 download)
Download or read book Quasi-Likelihood And Its Application written by Christopher C. Heyde and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first account in book form of all the essential features of the quasi-likelihood methodology, stressing its value as a general purpose inferential tool. The treatment is rather informal, emphasizing essential principles rather than detailed proofs, and readers are assumed to have a firm grounding in probability and statistics at the graduate level. Many examples of the use of the methods in both classical statistical and stochastic process contexts are provided.
Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (186 download)
Download or read book Quasi-maximum Likelihood Estimators in GARCH(1,2) Model written by Yingfu Xie and published by . This book was released on 2003 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (185 download)
Download or read book Consistency of Quasi-maximum Likelihood Estimators for the Reduced Regime-switching GARCH Models written by Yingfu Xie and published by . This book was released on 2005 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yingfu Xie
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (185 download)
Download or read book Consistency of Quasi-maximum Likelihood Estimators for the Regime-switching GARCH Models written by Yingfu Xie and published by . This book was released on 2005 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim Bollerslev
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (194 download)
Download or read book Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances written by Tim Bollerslev and published by . This book was released on 1988 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Yang
Publisher : London : Department of Economics, University of Western Ontario
ISBN 13 : 9780771421389
Total Pages : 38 pages
Book Rating : 4.4/5 (213 download)
Download or read book Semiparametric Maximum Likelihood Estimation of GARCH Models written by Jian Yang and published by London : Department of Economics, University of Western Ontario. This book was released on 1998 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim BOLLERSLEV
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC MODELS WITH TIME VARYNG COVARIANCES written by Tim BOLLERSLEV and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Min Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Non-Stationarity and Quasi-Maximum Likelihood Estimation on a Double Autoregressive Model written by Min Chen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nur Syazana Ramlee
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (96 download)
Download or read book Maximum Likelihood Estimation and Quasi-maximum Likelihood Estimation Situations written by Nur Syazana Ramlee and published by . This book was released on 2011 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tyler Shumway
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (367 download)
Download or read book Adaptive Maximum Penalized Likelihood Estimation written by Tyler Shumway and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles DeRue Wakefield
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (222 download)
Download or read book On Maximum Likelihood Adaptive Estimation written by Charles DeRue Wakefield and published by . This book was released on 1971 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Hedley Storer
Publisher :
ISBN 13 :
Total Pages : 734 pages
Book Rating : 4.:/5 (168 download)
Download or read book Adaptive Estimation by Maximum Likelihood Fitting of Johnson Distributions written by Robert Hedley Storer and published by . This book was released on 1987 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Collin Philipps
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Quasi-Maximum Likelihood Estimation for Conditional Expectiles written by Collin Philipps and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterize the quasi-likelihood functions that may elicit expectiles and find that the family has a unique representation under standard conditions for linear regression. The only distribution that elicits expectiles as its quasi-maximum likelihood estimator under general conditions is an asymmetric normal distribution. Next, we analyze the quasi maximum likelihood estimator and give conditions for consistency, asymptotic normality, and efficiency. The estimator is unique up to the choice of weights on individual observations and nests the usual GLS estimator. We give the asymptotic MVUE and a uniform Cramer-Rao theorem for expectile regression.
