Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Keywords

Mathematics, Autoregressive conditional heteroskedasticity, Estimator, Conditional variance, Statistics

References

• Maximum Likelihood Estimation for Dependent ObservationsM. J. Crowder — 1976
• Asymptotic properties of econometric estimatorsJeffrey M. Wooldridge — 1986
• Estimation and Inference in Nonlinear Structural ModelsErnst R. Berndt, Bronwyn H. Hall, Robert E. Hall — 1974
• Alternative Models for Conditional Stock VolatilityAdrian Pagan, G. William Schwert — 1990
• ARCH modeling in finance: A review of the theory and empirical evidenceTim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner — 1992
• Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test StatisticsThomas MaCurdy — 1981
• ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESSTim Bollerslev — 1988
• Modeling Heteroscedasticity in Daily Foreign-Exchange RatesDavid A. Hsieh — 1989
• Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflationRobert F. Engle — 1982
• Instrumental Variables Regression with Independent ObservationsHalbert White — 1982
• Asymptotic efficiency in estimation with conditional moment restrictionsGary Chamberlain — 1987
• INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATESRichard T. Baillie, Tim Bollerslev — 1991
• Small-Sample Properties of ARCH Estimators and TestsRobert F. Engle, David F. Hendry, D. Trumble — 1985
• A Capital Asset Pricing Model with Time-Varying CovariancesTim Bollerslev, Robert F. Engle, Jeffrey M. Wooldridge — 1988
• A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURNTim Bollerslev — 1987
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHDaniel B. Nelson — 1991
• ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONSRisto D. H. Heijmans, Jan R. Magnus — 1986
• Multivariate regression models for panel dataGary Chamberlain — 1982
• Maximum Likelihood Estimation of Misspecified ModelsHalbert White — 1982
• Modelling the persistence of conditional variancesRobert F. Engle, Tim Bollerslev — 1986

Cited by

• HAS DOMESTIC OR FOREIGN NET SAVING DRIVEN THE EXTERNAL ACCOUNTSTony Makin, Paresh Kumar Narayan — 2007
• Conditional Variance Parameters in Symmetric ModelsJosephine Nneamaka Onyeka-Ubaka, O. Abass, Ray Okafor — 2014
• Information Asymmetry, Bid-Ask Spreads and Option ReturnsFredrik Berchtold, Lars L. Nordén — 2003
• A Closer Look at ADC Multivariate GARCHJared Haftel — 2009
• Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return InnovationsAktham Maghyereh, Basel Awartani — 2012
• Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure ModelsMarcel A. Priebsch — 2013
• Notes on Nonlinear DynamicsFrançois‐Éric Racicot — 2012
• Learning Network Structure of Financial Institutions from CDS DataChanatip Kitwiwattanachai — 2015
• EXPECTATIONS AND THE EFFECT OF LIQUIDITY IN HIGH- GRADE YEN BOND MARKETSJonathan A. Batten, Warren Hogan, Seppo Pynnönen — 1999
• Growth Volatility and Equity Market LiberalizationGeert Bekaert, Christian Lundblad — 2002
• Testing the risk and return trade-off in the Athens stock exchangeTheodoros Spyridis — 2009
• Robust statistical procedures for location and scale dynamic models with applications to risk managementLoriano Mancini — 2004
• Estimating Ibovespa's VolatilityNelson Souza-Sobrinho — 2009
• The role of trading intensity in duration modelling and price discovery : evidence from the European carbon marketI. Kalaitzoglou — 2012
• An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countriesYiannis Kassimatis — 1994
• Overlaying Time Scales and Persistence Estimation of Financial Volatility DataEric Hillebrand — 2002
• L'intégration boursière internatinale: Test et effects sur la diversification.Mohamed El Hédi Arouri — 2007
• Centre for International Capital MarketsKe Fei You, Nicholas Sarantis — 2008
• Can the effects of using all suitable lags of an instrument comparable to that of an additional basic instrument in instrumental variable regression analysis of heteroskedastic linear modelsChee Yin Yip, Hock Eam Lim, Hong, Pei Yee — 2010
• Daily House Price Indexes: Volatility Dynamics and Longer-Run PredictionsWenjing Wang — 2014

Related papers

• Reversed Score and Likelihood Ratio TestsGeert Dhaene, Olivier Scaillet — 2000
• The generalized likelihood ratio test for the Behrens–Fisher problemTrevor F. Cox, Khalifa H. Jaber — 1990
• Specification testing when score test statistics are identically zeroLung‐fei Lee, Andrew Chesher — 1986
• CHOI_LR_TEST: Stata module to perform Choi's likelihood ratio testWilliam D. Dupont, W. Dale Plummer — 2016
• The Performance of the Likelihood Ratio Test When the Model is IncorrectRobert V. Foutz, R. C. Srivastava — 1977
• Testing for zero-modification in count regression models.Claudia Czado, Aleksey Min — 2010
• The Quasi-score statistic in quasi-likelihood modelJong‐Wuu Wu, Wen-Chuan Lee — 2001