Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 5 of 5 for “"QMLE"”.
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Contributions to Conditional Heteroscedastic Models: M-Estimation and Other Methods.
… widely-used quasi-maximum likelihood estimator (QMLE) and even outperform the least absolute deviation estimator. The asymptotic distributions of the squared and absolute residual autocorrelations for generalised autoregressive conditional heteroscedastic (GARCH) models estimated by M-estimators …
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Essays in Financial Econometrics and Forecasting
… the Gaussian Quasi-Maximum-Likelihood estimator (QMLE) for the Real-time GARCH(1,1) model, developed in the first chapter of this dissertation. I establish the ergodicity and $\beta$-mixing properties of the joint process for squared returns and the volatility process. I also prove strong …
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Testing adaptive market efficiency under the assumption of stochastic volatility
… introduced by Koopman and Uspensky (2002). The QMLE technique introduced by Harvey (1989) and the classical and Extended Kalman Filter techniques are described so that the TEE, the GTEE and the SV-TEE can be calibrated together with the hidden volatility process estimation. The empirical study …
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Essays on testing spatial models
… maximum likelihood estimator (MLE) or quasi MLE (QMLE). Our proposed tests can be viewed as the conditional variance counterpart of specification tests suggested for the spatial conditional mean as in Anselin et al. (1996) and Bera et al. (2019). We also develop non-nested tests for linear vs. log …
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Essays in Spatial Econometrics: Estimation, Specification Test and the Bootstrap
<p> This dissertation consists of three chapters covering the following topics in spatial econometrics: estimation, specification and the bootstrap.</p><p>In Chapter 1, we first generalize an approximate measure of spatial dependence, the APLE statistic in Li et al (2007), to a spatial Durbin (SD) …