On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
References listed on IDEAS
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Ling, Shiqing & McAleer, Michael, 2003.
"Asymptotic Theory For A Vector Arma-Garch Model,"
Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
- Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
- Hodgson, Douglas J & Vorkink, Keith P, 2003.
"Efficient Estimation of Conditional Asset-Pricing Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
- Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
- Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
- Gonzalez-Rivera, Gloria & Drost, Feike C., 1999.
"Efficiency comparisons of maximum-likelihood-based estimators in GARCH models,"
Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM d93a8be0-5dcd-4ae8-9eb1-b, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM 7a28bbc8-e8d6-4dbe-874e-5, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Drost, Feike C. & Klaassen, Chris A. J., 1997.
"Efficient estimation in semiparametric GARCH models,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
- Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
- Oliver Linton & Douglas Steigerwald, 2000.
"Adaptive testing in arch models,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003.
"Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007.
"Semiparametric Multivariate Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Demos, Antonis & Sentana, Enrique, 1998.
"Testing for GARCH effects: a one-sided approach,"
Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
- Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
- Linton, Oliver, 1993.
"Adaptive Estimation in ARCH Models,"
Econometric Theory, Cambridge University Press, vol. 9(4), pages 539-569, August.
- Oliver Linton, 1993. "Adaptive Estimation in ARCH Models," Cowles Foundation Discussion Papers 1054, Cowles Foundation for Research in Economics, Yale University.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002.
"Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Mencia, Javier F. & Sentana, Enrique, 2004.
"Estimation and testing of dynamic models with generalised hyperbolic innovations,"
LSE Research Online Documents on Economics
24742, London School of Economics and Political Science, LSE Library.
- Sentana, Enrique & MencÃa, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
- Song Chen, 2000. "Probability Density Function Estimation Using Gamma Kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 471-480, September.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004.
"On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models,"
Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
- Douglas Hodgson, 2000. "Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 175-206.
- repec:adr:anecst:y:2000:i:58:p:01 is not listed on IDEAS
- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
- Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
- Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994.
"Adaptive estimation in time-series models,"
Discussion Paper
1994-88, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
- Drost, F.C. & Klaasens, C.A.J. & Werker, B.J.M., 1994. "Adaptive Estimation in Time Series Models," Papers 9488, Tilburg - Center for Economic Research.
- Hall, Peter & Yao, Qiwei, 2003. "Inference in ARCH and GARCH models with heavy-tailed errors," LSE Research Online Documents on Economics 5875, London School of Economics and Political Science, LSE Library.
- Sentana, Enrique & Fiorentini, Gabriele, 2001.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Identification, estimation and testing of conditionally heteroskedastic factor models," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- Davidson, Russell & MacKinnon, James G, 1998.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Paper 903, Economics Department, Queen's University.
- Gloria Gonzalez-Rivera, 1997.
"A note on adaptation in garch models,"
Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 55-68.
- Gonzalez-Rivera, G., 1995. "A Note on Adaptation in Garch Models," The A. Gary Anderson Graduate School of Management 95-1, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Enrique Sentana, 1994.
"The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases,"
Working Papers
wp1994_9420, CEMFI.
- Sentana, E., 1994. "The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases," Papers 9420, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 2000. "The Likelihood Function of Conditionally Heteroskedastic Factor Models," Annals of Economics and Statistics, GENES, issue 58, pages 1-19.
- Berkane, Maia & Bentler, P. M., 1986. "Moments of elliptically distributed random variates," Statistics & Probability Letters, Elsevier, vol. 4(6), pages 333-335, October.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
- Peter Hall & Qiwei Yao, 2003. "Inference in Arch and Garch Models with Heavy--Tailed Errors," Econometrica, Econometric Society, vol. 71(1), pages 285-317, January.
- Pietro BALESTRA & Alberto HOLLY, 1990. "A General Kronecker Formula for the Moments of the Multivariate Normal Distribution," Cahiers de Recherches Economiques du Département d'économie 9002, Université de Lausanne, Faculté des HEC, Département d’économie.
- Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004. "Constrained Indirect Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium Blocking in Large Quasilinear Economies,"
Working Papers
wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022.
"Score-type tests for normal mixtures,"
Working Papers
wp2022_2213, CEMFI.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2023.
"Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
- Pedro Godinho & Pedro Cerqueira, 2018.
"The Impact of Expectations, Match Importance, and Results in the Stock Prices of European Football Teams,"
Journal of Sports Economics, , vol. 19(2), pages 230-278, February.
- Pedro Godinho & Pedro Cerqueira, 2014. "The Impact of Expectations, Match Importance and Results in the Stock Prices of European Football Teams," GEMF Working Papers 2014-09, GEMF, Faculty of Economics, University of Coimbra.
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
- Neifar, Malika, 2020. "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper 99658, University Library of Munich, Germany.
- Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- David Martinez-Miera & Rafael Repullo, 2010.
"Does Competition Reduce the Risk of Bank Failure?,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
- Repullo, Rafael & Martinez-Miera, David, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
- David Martinez-Miera & Rafael Repullo, 2008. "Does Competition Reduce the Risk of Bank Failure?," Working Papers wp2008_0801, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010.
"Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation,"
Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation," Working Papers 2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Pedro Godinho & Pedro Cerqueira, 2018.
"The Impact of Expectations, Match Importance, and Results in the Stock Prices of European Football Teams,"
Journal of Sports Economics, , vol. 19(2), pages 230-278, February.
- Pedro Godinho & Pedro Cerqueira, 2014. "The Impact of Expectations, Match Importance and Results in the Stock Prices of European Football Teams," GEMF Working Papers 2014-09, GEMF, Faculty of Economics, University of Coimbra.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Javier Mencía & Enrique Sentana, 2012.
"Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations,"
The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2018_1708, CEMFI.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:rim:rimwps:38-07 is not listed on IDEAS
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Christian Francq & Jean-Michel Zakoïan, 2008. "A Tour in the Asymptotic Theory of GARCH Estimation," Working Papers 2008-03, Center for Research in Economics and Statistics.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007.
"Semiparametric Multivariate Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
- Hodgson, Douglas J & Vorkink, Keith P, 2003.
"Efficient Estimation of Conditional Asset-Pricing Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
- Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
- Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
- Javier Mencía & Enrique Sentana, 2012.
"Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations,"
The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
- Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
- Francq, Christian & Zakoïan, Jean-Michel, 2009.
"Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
- Christian Francq & Jean-Michel Zakoïan, 2008. "Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons," Working Papers 2008-04, Center for Research in Economics and Statistics.
- Francq, Christian & Zakoian, Jean-Michel, 2008. "Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons," MPRA Paper 16672, University Library of Munich, Germany.
- Gonzalez-Rivera, Gloria & Drost, Feike C., 1999.
"Efficiency comparisons of maximum-likelihood-based estimators in GARCH models,"
Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM d93a8be0-5dcd-4ae8-9eb1-b, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Other publications TiSEM 7a28bbc8-e8d6-4dbe-874e-5, Tilburg University, School of Economics and Management.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
- Zhu, Ke & Li, Wai Keung, 2013.
"A new Pearson-type QMLE for conditionally heteroskedastic models,"
MPRA Paper
52344, University Library of Munich, Germany.
- Zhu, Ke & Li, Wai Keung, 2014. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52732, University Library of Munich, Germany.
- Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
More about this item
Keywords
Adaptivity; ARCH; Elliptical Distributions; Financial Returns; Hausman tests; Semiparametric Estimators; Sequential Estimators;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:38_07. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marco Savioli (email available below). General contact details of provider: https://edirc.repec.org/data/rcfeait.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.