-
2
-
-
0040485278
-
Fractionally integrated generalised autoregressive conditional heteroskedasticity
-
R.T. Baillie, T. Bolerslev, and H.O. Mikkelsen Fractionally integrated generalised autoregressive conditional heteroskedasticity Journal of Econometrics 74 1996 3 30
-
(1996)
Journal of Econometrics
, vol.74
, pp. 3-30
-
-
Baillie, R.T.1
Bolerslev, T.2
Mikkelsen, H.O.3
-
3
-
-
84989249342
-
Estimation of a density function using order statistics
-
E. Bofinger Estimation of a density function using order statistics Australian Journal of Statistics 17 1 1975 1 7
-
(1975)
Australian Journal of Statistics
, vol.17
, Issue.1
, pp. 1-7
-
-
Bofinger, E.1
-
4
-
-
0001023182
-
Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model
-
T. Bollerslev Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model Review of Economics and Statistics 72 1990 498 505
-
(1990)
Review of Economics and Statistics
, vol.72
, pp. 498-505
-
-
Bollerslev, T.1
-
10
-
-
0033133786
-
Computing the probability density function of the stable paretian distribution
-
D. Chenyao, S. Mittnik, and T. Doganoglu Computing the probability density function of the stable paretian distribution Mathematical and Computer Modelling 29 1999 235 240
-
(1999)
Mathematical and Computer Modelling
, vol.29
, pp. 235-240
-
-
Chenyao, D.1
Mittnik, S.2
Doganoglu, T.3
-
13
-
-
0002788005
-
On the relation between GARCH and stable processes
-
C.G. De Vries On the relation between GARCH and stable processes Journal of Econometrics 48 1991 313 324
-
(1991)
Journal of Econometrics
, vol.48
, pp. 313-324
-
-
De Vries, C.G.1
-
14
-
-
84872026321
-
(Very) fast estimation and testing for (very) large dimensional heavy-tailed elliptical distributions
-
Dominicy, Y.; Ogata, H.; Veredas, D.; 2011. (Very) fast estimation and testing for (very) large dimensional heavy-tailed elliptical distributions. ECARES Mimeo.
-
(2011)
ECARES Mimeo
-
-
Dominicy, Y.1
Ogata, H.2
Veredas, D.3
-
15
-
-
0000593389
-
Simulated moments estimation of Markov models of asset prices
-
D. Duffie, and K.J. Singleton Simulated moments estimation of Markov models of asset prices Econometrica 61 1993 929 952
-
(1993)
Econometrica
, vol.61
, pp. 929-952
-
-
Duffie, D.1
Singleton, K.J.2
-
16
-
-
0000380256
-
On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
-
W.H. DuMouchel On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution Annals of Statistics 1 1973 948 957
-
(1973)
Annals of Statistics
, vol.1
, pp. 948-957
-
-
Dumouchel, W.H.1
-
19
-
-
41549111972
-
Method-of-moments estimators of stable distribution parameters
-
B.D. Fielitz, and J. Rozelle Method-of-moments estimators of stable distribution parameters Applied Mathematics and Computation 8 1981 303 320
-
(1981)
Applied Mathematics and Computation
, vol.8
, pp. 303-320
-
-
Fielitz, B.D.1
Rozelle, J.2
-
21
-
-
79952449868
-
Estimation of stable distributions by indirect inference
-
R. Garcia, E. Renault, and D. Veredas Estimation of stable distributions by indirect inference Journal of Econometrics 161 2011 325 337
-
(2011)
Journal of Econometrics
, vol.161
, pp. 325-337
-
-
Garcia, R.1
Renault, E.2
Veredas, D.3
-
22
-
-
0003125271
-
The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
-
D. Ghose, and K.F. Kroner The relationship between GARCH and symmetric stable processes: finding the source of fat tails in financial data Journal of Empirical Finance 2 1995 225 251
-
(1995)
Journal of Empirical Finance
, vol.2
, pp. 225-251
-
-
Ghose, D.1
Kroner, K.F.2
-
24
-
-
84904755473
-
Indirect inference
-
(Supplement: Special issue on econometric inference using simulation techniques)
-
C. Gouriéroux, A. Monfort, and E. Renault Indirect inference Journal of Applied Econometrics 8 1993 85 118 (Supplement: Special issue on econometric inference using simulation techniques)
-
(1993)
Journal of Applied Econometrics
, vol.8
, pp. 85-118
-
-
Gouriéroux, C.1
Monfort, A.2
Renault, E.3
-
25
-
-
70350225597
-
Classical estimation methods for LDV models using simulation
-
V. Hajivassiliou, and P. Ruud Classical estimation methods for LDV models using simulation Handbook of Econometrics 4 1994 2383 2441
-
(1994)
Handbook of Econometrics
, vol.4
, pp. 2383-2441
-
-
Hajivassiliou, V.1
Ruud, P.2
-
26
-
-
85041937190
-
On power transformations to symmetry
-
D.V. Hinkley On power transformations to symmetry Biometrika 62 1975 101 111
-
(1975)
Biometrika
, vol.62
, pp. 101-111
-
-
Hinkley, D.V.1
-
29
-
-
33751011015
-
Bayesian inference for α-stable distributions: A random walk MCMC approach
-
M.J. Lombardi Bayesian inference for α-stable distributions: a random walk MCMC approach Computational Statistics and Data Analysis 51 2007 2688700
-
(2007)
Computational Statistics and Data Analysis
, vol.51
, pp. 2688700
-
-
Lombardi, M.J.1
-
30
-
-
40149102214
-
Indirect estimation of α-stable distributions and processes
-
M.J. Lombardi, and G. Calzolari Indirect estimation of α-stable distributions and processes The Econometrics Journal 11 1 2008 193 208
-
(2008)
The Econometrics Journal
, vol.11
, Issue.1
, pp. 193-208
-
-
Lombardi, M.J.1
Calzolari, G.2
-
32
-
-
0000883977
-
A method of simulated moments for estimation of discrete response models without numerical integration
-
D. McFadden A method of simulated moments for estimation of discrete response models without numerical integration Econometrica 57 1989 995 1026
-
(1989)
Econometrica
, vol.57
, pp. 995-1026
-
-
McFadden, D.1
-
34
-
-
0012900081
-
A quantile alternative for kurtosis
-
J.J.A. Moors A quantile alternative for kurtosis The Statistician 1988 25 32
-
(1988)
The Statistician
, pp. 25-32
-
-
Moors, J.J.A.1
-
36
-
-
0001331135
-
The asymptotics of simulation estimators
-
A. Pakes, and D. Pollard The asymptotics of simulation estimators Econometrica 57 1989 1027 1058
-
(1989)
Econometrica
, vol.57
, pp. 1027-1058
-
-
Pakes, A.1
Pollard, D.2
-
37
-
-
0016639675
-
The estimation of the parameters of the stable laws
-
A.S Paulson, E.W. Holcomb, and R.A. Leitch The estimation of the parameters of the stable laws Biometrika 62 1975 163 170
-
(1975)
Biometrika
, vol.62
, pp. 163-170
-
-
Paulson, A.S.1
Holcomb, E.W.2
Leitch, R.A.3
-
38
-
-
0001646356
-
Estimation of univariate and multivariate stable distributions
-
J.S. Press Estimation of univariate and multivariate stable distributions Journal of the American Statistical Association 67 340 1972 842 846
-
(1972)
Journal of the American Statistical Association
, vol.67
, Issue.340
, pp. 842-846
-
-
Press, J.S.1
-
39
-
-
0346966135
-
Bayesian inference for time series with stable innovations
-
Z. Qiou, and N. Ravishanker Bayesian inference for time series with stable innovations Journal of Time Series Analysis 19 1998 23549
-
(1998)
Journal of Time Series Analysis
, vol.19
, pp. 23549
-
-
Qiou, Z.1
Ravishanker, N.2
-
40
-
-
0016027796
-
An approximative method for generating asymmetric random variables
-
J.S. Ramberg, and B.W. Schmeiser An approximative method for generating asymmetric random variables Communications of the ACM 17 2 1974 78 82
-
(1974)
Communications of the ACM
, vol.17
, Issue.2
, pp. 78-82
-
-
Ramberg, J.S.1
Schmeiser, B.W.2
|