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 ◽

Cited By ~ 5

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models

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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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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 ◽

Cited By ~ 45

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 ◽

Cited By ~ 9

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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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 ◽

Cited By ~ 4

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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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 ◽

Cited By ~ 536

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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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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Maximum likelihood estimation for all-pass time series models

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2006.01.005 ◽

2006 ◽

Vol 97 (7) ◽

pp. 1638-1659 ◽

Cited By ~ 46

Author(s):

Beth Andrews ◽

Richard A. Davis ◽

F. Jay Breidt

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models

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An Exact Maximum Likelihood Estimation Procedure for Regression-ARMA Time Series Models with Possibly Nonconsecutive Data

Journal of the Royal Statistical Society Series B (Methodological) ◽

10.1111/j.2517-6161.1986.tb01414.x ◽

1986 ◽

Vol 48 (3) ◽

pp. 303-313 ◽

Cited By ~ 4

Author(s):

Michael A. Wincek ◽

Gregory C. Reinsel

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Estimation Procedure ◽

Time Series Models ◽

Exact Maximum Likelihood

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On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2008.12.008 ◽

2009 ◽

Vol 79 (8) ◽

pp. 2556-2565 ◽

Cited By ~ 4

Author(s):

Shuangzhe Liu ◽

Heinz Neudecker

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Multivariate Time Series ◽

Likelihood Estimation ◽

Time Series Models ◽

Conditional Heteroskedasticity ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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