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Consistent Non Gausian Pseudo Maximum Likelihood Estimators
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Book Synopsis Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators by : Gabriele Fiorentini
Download or read book Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators written by Gabriele Fiorentini and published by . This book was released on 2018 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterise the mean and variance parameters that distributionally misspecified maximum likelihood estimators can consistently estimate in multivariate conditionally heteroskedastic dynamic regression models. We also provide simple closed-form consistent estimators for the rest. The inclusion of means and the explicit coverage of multivariate models make our procedures useful not only for GARCH models but also in many empirically relevant macro and finance applications involving VARs and multivariate regressions. We study the statistical properties of our proposed consistent estimators, as well as their efficiency relative to Gaussian pseudo maximum likelihood procedures. Finally, we provide finite sample results through Monte Carlo simulations.
Book Synopsis Consistent Non-Gausian Pseudo Maximum Likelihood Estimators by : Gabriele Fiorentini
Download or read book Consistent Non-Gausian Pseudo Maximum Likelihood Estimators written by Gabriele Fiorentini and published by . This book was released on 2018 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterise the mean and variance parameters that distributionally misspecified maximum likelihood estimators can consistently estimate in multivariate conditionally heteroskedastic dynamic regression models. We also provide simple closed-form consistent estimators for the rest. The inclusion of means and the explicit coverage of multivariate models make our procedures useful not only for GARCH models but also in many empirically relevant macro and finance applications involving VARs and multivariate regressions. We study the statistical properties of our proposed consistent estimators, as well as their efficiency relative to Gaussian pseudo maximum likelihood procedures. Finally, we provide finite sample results through Monte Carlo simulations.
Book Synopsis Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions by : Gabriele Fiorentini
Download or read book Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions written by Gabriele Fiorentini and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity by : Whitney K. Newey
Download or read book Consistency of Quasi-Maximum Likelihood Estimators for Models with Conditional Heteroskedasticity written by Whitney K. Newey and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually all empirical studies that assume a time-varying conditional variance use a quasi-maximum likelihood estimator (QMLE). If the density from which the likelihood is constructed is assumed to be Gaussian, the QMLE is known to be consistent under correct specification of both the conditional mean and conditional variance. We show that if both the assumed density and the true density are symmetric a QMLE remains consistent. If, however, either the assumed density or the true density is asymmetric, a QMLE is generally not consistent. To ensure that a QMLE is consistent under asymmetric densities, we include the conditional standard deviation as a regressor. We calculate the efficiency loss associated with the added regressor if the densities are symmetric and show that for a QMLE of the conditional variance parameters of a GARCH process there is no efficiency loss. Finally, we develop a test of consistency of a QMLE from the significance of the additional regressor.
Book Synopsis Specification Tests for Non-Gaussian Maximum Likelihood Estimators by : Gabriele Fiorentini
Download or read book Specification Tests for Non-Gaussian Maximum Likelihood Estimators written by Gabriele Fiorentini and published by . This book was released on 2018 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose generalised DWH specification tests which simultaneously compare three or more likelihood-based estimators of conditional mean and variance parameters in multivariate conditionally heteroskedastic dynamic regression models. Our tests are useful for GARCH models and in many empirically relevant macro and finance applications involving VARs and multivariate regressions. To design powerful and reliable tests, we determine the rank deficiencies of the differences between the estimators' asymptotic covariance matrices under the null of correct specification, and take into account that some parameters remain consistently estimated under the alternative of distributional misspecification. Finally, we provide finite sample results through Monte Carlo simulations.
Book Synopsis The Elements of Financial Econometrics by : Jianqing Fan
Download or read book The Elements of Financial Econometrics written by Jianqing Fan and published by Cambridge University Press. This book was released on 2017-03-23 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.
Book Synopsis Consistency of Quasi Maximum Likelihood Estimators for Models with Conditional Heteroscedasticity by : Whitney K. Newey
Download or read book Consistency of Quasi Maximum Likelihood Estimators for Models with Conditional Heteroscedasticity written by Whitney K. Newey and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation of a Class of Non-Gaussian Densities with Application to Deconvolution by : Trung T. Pham
Download or read book Maximum Likelihood Estimation of a Class of Non-Gaussian Densities with Application to Deconvolution written by Trung T. Pham and published by . This book was released on 1987 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates in detail the properties of the maximum likelihood estimator of the generalized p-Gaussian (gpG) probability density function (pdf) from N independent identically distributed (iid) samples, especially in the context of the deconvolution problem under gpG white noise. The first part describes the properties of the estimator independently on the application. The second part obtains the solution of the above mentioned deconvolution problem as the solution of a minimum norm problem in an l sub p normed space. In the present paper, we show that such a minimum norm solution is the maximum likelihood estimate is unbiased, with the lower bound of the variance of the error equal to the Cramer Rao lower bound, and the upper bound derived from the concept of a generalized inverse.
Book Synopsis Consistency of Quasi-maximum Likelihood Estimators for the Regime-switching GARCH Models by : Yingfu Xie
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:
Book Synopsis Properties of Maximum Likelihood Estimators in Nonstable Stochastic Difference Equations by : Malempati Madhusudana Rao
Download or read book Properties of Maximum Likelihood Estimators in Nonstable Stochastic Difference Equations written by Malempati Madhusudana Rao and published by . This book was released on 1959 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistent Maximum Likelihood Estimation with Dependent Observations: the General (non-normal) Case and the Normal Case by : Risto Donald Henri Heijmans
Download or read book Consistent Maximum Likelihood Estimation with Dependent Observations: the General (non-normal) Case and the Normal Case written by Risto Donald Henri Heijmans and published by . This book was released on 1985 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Book Synopsis On the Consistency of Maximum Likelihood Estimators with Dependent Observations by : Risto D. H. Heijmans
Download or read book On the Consistency of Maximum Likelihood Estimators with Dependent Observations written by Risto D. H. Heijmans and published by . This book was released on 1983 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistency of Maximum Likelihood Estimators of the Factor Analysis Model, when the Observation are Not Multivariate Normally Distributed by : R. D. Gil
Download or read book Consistency of Maximum Likelihood Estimators of the Factor Analysis Model, when the Observation are Not Multivariate Normally Distributed written by R. D. Gil and published by . This book was released on 1976 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Econometrics of Individual Risk by : Christian Gourieroux
Download or read book The Econometrics of Individual Risk written by Christian Gourieroux and published by Princeton University Press. This book was released on 2015-07-28 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.
Book Synopsis Consistency of Maximum Likelihood Estimators in the Finite Case by : Hans Brons
Download or read book Consistency of Maximum Likelihood Estimators in the Finite Case written by Hans Brons and published by . This book was released on 1971 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consistency of Maximum Likelihood Estimators of the Factor Analysis Model, when the Observations are Not Multivariate Normally Distributed by : Richard D. Gill
Download or read book Consistency of Maximum Likelihood Estimators of the Factor Analysis Model, when the Observations are Not Multivariate Normally Distributed written by Richard D. Gill and published by . This book was released on 1976 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
