Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach

Estimation in Conditionally Heteroscedastic Time Series Models - Lecture Notes in Statistics ◽

10.1007/3-540-26978-9_5 ◽

2006 ◽

pp. 85-140

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Recurrence Equations ◽

Stochastic Recurrence ◽

Quasi Maximum Likelihood

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

The Annals of Statistics ◽

10.1214/009053606000000803 ◽

2006 ◽

Vol 34 (5) ◽

pp. 2449-2495 ◽

Author(s):

Daniel Straumann ◽

Thomas Mikosch

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Recurrence Equations ◽

Stochastic Recurrence ◽

Quasi Maximum Likelihood

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Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Journal of Econometrics ◽

10.1016/j.jeconom.2017.01.008 ◽

2017 ◽

Vol 198 (1) ◽

pp. 165-188 ◽

Author(s):

Giuseppe Cavaliere ◽

Morten Ørregaard Nielsen ◽

A.M. Robert Taylor

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Bootstrap Inference ◽

Unknown Form ◽

Quasi Maximum Likelihood

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Quasi-maximum Likelihood Estimation of Periodic Autoregressive, Conditionally Heteroscedastic Time Series

Springer Proceedings in Mathematics & Statistics - Stochastic Models, Statistics and Their Applications ◽

10.1007/978-3-319-13881-7_23 ◽

2015 ◽

pp. 207-214 ◽

Author(s):

Florian Ziel

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Quasi Maximum Likelihood

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Quasi Maximum Likelihood Estimation in a Generalized Conditionally Heteroscedastic Time Series Model with Heavy—tailed Innovations

Estimation in Conditionally Heteroscedastic Time Series Models - Lecture Notes in Statistics ◽

10.1007/3-540-26978-9_7 ◽

2006 ◽

pp. 169-186

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Model ◽

Heavy Tailed ◽

Quasi Maximum Likelihood

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

The Annals of Statistics ◽

10.1214/11-aos931 ◽

2011 ◽

Vol 39 (6) ◽

pp. 3152-3181 ◽

Author(s):

Javier Hualde ◽

Peter M. Robinson

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Exact maximum likelihood estimation for non-stationary periodic time series models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.04.010 ◽

2010 ◽

Vol 54 (11) ◽

pp. 2641-2654 ◽

Author(s):

Irma Hindrayanto ◽

Siem Jan Koopman ◽

Marius Ooms

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Periodic Time Series ◽

Exact Maximum Likelihood

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Maximum likelihood estimation of stationary univariate fractionally integrated time series models

Journal of Econometrics ◽

10.1016/0304-4076(92)90084-5 ◽

1992 ◽

Vol 53 (1-3) ◽

pp. 165-188 ◽

Author(s):

Fallaw Sowell

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Integrated Time Series

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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Econometric Reviews ◽

10.1080/07474938.2015.1031014 ◽

2015 ◽

Vol 35 (4) ◽

pp. 659-687

Author(s):

G. Mesters ◽

S. J. Koopman ◽

M. Ooms

Keyword(s):

Time Series ◽

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Long Memory ◽

Likelihood Estimation ◽

Time Series Models ◽

Memory Time ◽

Monte Carlo Maximum Likelihood

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Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models

Estimation in Conditionally Heteroscedastic Time Series Models - Lecture Notes in Statistics ◽

10.1007/3-540-26978-9_6 ◽

2006 ◽

pp. 141-168 ◽

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models

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Some Computational Aspects of Exact Maximum Likelihood Estimation of Time Series Models

COMPSTAT ◽

10.1007/978-3-642-46992-3_47 ◽

1996 ◽

pp. 361-366

Author(s):

José Alberto Mauricio

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Computational Aspects ◽

Exact Maximum Likelihood ◽

Estimation Of Time

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