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The convergence of estimators based on heuristics: theory and application to a GARCH model

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  • Peter Winker

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  • Dietmar Maringer

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  • Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
  • Handle: RePEc:spr:compst:v:24:y:2009:i:3:p:533-550
    DOI: 10.1007/s00180-008-0145-5
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    References listed on IDEAS

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    1. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    2. Bond Derek & Harrison Michael J. & O'Brien Edward J., 2005. "Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-43, September.
    3. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
    4. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
    5. repec:tcd:wpaper:tep4 is not listed on IDEAS
    6. Fitzenberger, Bernd & Winker, Peter, 2007. "Improving the computation of censored quantile regressions," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
    7. McCullough, B. D. & Wilson, Berry, 1999. "On the accuracy of statistical procedures in Microsoft Excel 97," Computational Statistics & Data Analysis, Elsevier, vol. 31(1), pages 27-37, July.
    8. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
    9. Hamilton James D., 2005. "Comment on "Investigating Nonlinearity"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-10, September.
    10. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
    11. Winker, Peter, 2005. "The Stochastics of Threshold Accepting: Analysis of an Application to the Uniform Design Problem," Discussion Papers 2005,003E, University of Erfurt, Faculty of Economics, Law and Social Sciences.
    12. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
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    Citations

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    Cited by:

    1. Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244292, HAL.
    2. Savin Ivan, 2013. "A Comparative Study of the Lasso-type and Heuristic Model Selection Methods," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(4), pages 526-549, August.
    3. Frauke Schleer, 2015. "Finding Starting-Values for the Estimation of Vector STAR Models," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-26, January.
    4. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    5. Creel, Michael, 2017. "Neural nets for indirect inference," Econometrics and Statistics, Elsevier, vol. 2(C), pages 36-49.
    6. Böhme Enrico & Müller Christopher, 2011. "Searching for the Concentration-Price Effect in the German Movie Theater Industry," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(4), pages 479-493, August.
    7. Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
    8. Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu, 2012. "Viterbi-Based Estimation for Markov Switching GARCH Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(3), pages 219-231, August.
    9. Michael Creel, 2016. "Neural Nets for Indirect Inference," Working Papers 942, Barcelona Graduate School of Economics.
    10. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    11. Matthieu Garcin & Clément Goulet, 2015. "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne 15086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    12. Schleer, Frauke, 2013. "Finding starting-values for maximum likelihood estimation of vector STAR models," ZEW Discussion Papers 13-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    13. Manuel Rizzo & Francesco Battaglia, 2016. "On the Choice of a Genetic Algorithm for Estimating GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 473-485, October.
    14. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
    15. Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.
    16. Peter Winker & Marianna Lyra & Chris Sharpe, 2011. "Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model," Computational Management Science, Springer, vol. 8(1), pages 103-123, April.

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