Nuisance parameters, composite likelihoods and a panel of GARCH models

Nuisance parameters, composite likelihoods and a panel of GARCH models

Show other versions (2)

We investigate the properties of the composite likelihood (CL) method for (T x NT) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. CL pools...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak:	Shephard, N, Sheppard, K
Formatua:	Working paper
Argitaratua:	University of Oxford 2009

Antzeko izenburuak

Nuisance parameters, composite likelihoods and a panel of GARCH models.
nork: Pakel, C, et al.
Argitaratua: (2009)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
nork: Pakel, C, et al.
Argitaratua: (2011)

Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio
nork: Yuejiao Fu, et al.
Argitaratua: (2018-04-01)

An object-oriented, maximum-likelihood parameter estimation program for GARCH(p,q)
nork: Irineo, Joseph B. (Joseph Bernard), 1976-
Argitaratua: (2013)

Likelihood Analysis of Non-Gaussian Parameter-Driven Models.
nork: Shephard, N, et al.
Argitaratua: (1995)

Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models
nork: Xuan Haiyan, et al.
Argitaratua: (2017-12-01)

The Likelihood Ratio Decision Criterion for Nuisance Attribute Projection in GMM Speaker Verification
nork: France Mihelič, et al.
Argitaratua: (2008-07-01)

Asymptotic Form of the Covariance Matrix of Likelihood-Based Estimator in Multidimensional Linear System Model for the Case of Infinity Number of Nuisance Parameters
nork: Alexander Varypaev
Argitaratua: (2024-02-01)

Local Scale Models: State Space Alternative to Integrated GARCH Processes.
nork: Shephard, N
Argitaratua: (1994)

Local scale models: state space alternative to integrated GARCH processes
nork: Shephard, N
Argitaratua: (1994)

Nuisance
nork: Nolan, D
Argitaratua: (2011)

Nuisance
nork: 282765 Macrory, Richard

Conditional Inference With a Functional Nuisance Parameter
nork: Andrews, Isaiah, et al.
Argitaratua: (2017)

On the Nuisance Parameter Elimination Principle in Hypothesis Testing
nork: Andrés Felipe Flórez Rivera, et al.
Argitaratua: (2024-01-01)

Nuisance and privacy
nork: Nolan, D
Argitaratua: (2021)

Stochastic volatility: likelihood inference and comparison with ARCH models.
nork: Kim, S, et al.
Argitaratua: (1994)

Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components.
nork: Shephard, N
Argitaratua: (1993)

Maximum likelihood estimation of regression models with stochastic trend components
nork: Shephard, N
Argitaratua: (1993)

Likelihood based inference for diffusion driven models.
nork: Chib, S, et al.
Argitaratua: (2004)

Parameter estimation in nonlinear AR-GARCH models
nork: Meitz, M, et al.
Argitaratua: (2008)

Least trimmed squares: nuisance parameter free asymptotics
nork: Berenguer Rico, V, et al.
Argitaratua: (2025)

Higher-Order Expansions for Estimators in the Presence of Nuisance Parameters
nork: Paul Rilstone
Argitaratua: (2025-01-01)

On the use of the BMC to resolve Bayesian inference with nuisance parameters
nork: Privas Edwin, et al.
Argitaratua: (2018-01-01)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
nork: Kim, S, et al.
Argitaratua: (2005)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
nork: Kim, S, et al.
Argitaratua: (2003)

Composite likelihood estimation of demographic parameters
nork: Garrigan Daniel
Argitaratua: (2009-11-01)

Likelihood analysis of a first order autoregressive model with exponential innovations
nork: Nielsen, B, et al.
Argitaratua: (2003)

Likelihood analysis of a first order autoregressive model with exponential innovations
nork: Shephard, N, et al.
Argitaratua: (2003)

Pollution: nuisance or nemesis?

Odour nuisances and their control /
nork: 235744 Artis, Denise
Argitaratua: (1984)

From Nuisances to Neighbors
nork: Mary A. Provence
Argitaratua: (2019-01-01)

From Nose to Nuisance
nork: Sofia A. Teixeira, et al.
Argitaratua: (2021-05-01)

The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model.
nork: Shephard, N
Argitaratua: (1997)

Cosmology with 6 parameters in the Stage-IV era: efficient marginalisation over nuisance parameters
nork: Hadzhiyska, B, et al.
Argitaratua: (2023)

Rabies- A Street Nuisance
nork: JNMA Editorial
Argitaratua: (2003-01-01)

Les nuisances aériennes à Bruxelles : dispersion des nuisances, concentration de la contestation?
nork: Dobruszkes, F
Argitaratua: (2007)

Comparing GARCH Models by Introducing Fuzzy Asymmetric Realized GARCH
nork: Esmaiel Abounoori, et al.
Argitaratua: (2018-09-01)

Cosmology with 6 parameters in the Stage-IV era: efficient marginalisation over nuisance parameters
nork: Boryana Hadzhiyska, et al.
Argitaratua: (2023-07-01)

Cosmology with 6 parameters in the Stage-IV era: efficient marginalisation over nuisance parameters
nork: Boryana Hadzhiyska, et al.
Argitaratua: (2023-07-01)

The locality principle in private nuisance
nork: Steel, S
Argitaratua: (2017)