Literatura académica sobre el tema "QML asymptotic results"
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Artículos de revistas sobre el tema "QML asymptotic results"
Hu, Hongchang. "QML Estimators in Linear Regression Models with Functional Coefficient Autoregressive Processes". Mathematical Problems in Engineering 2010 (2010): 1–30. http://dx.doi.org/10.1155/2010/956907.
Texto completoFrancq, Christian y Le Quyen Thieu. "QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES". Econometric Theory 35, n.º 1 (1 de febrero de 2018): 37–72. http://dx.doi.org/10.1017/s0266466617000512.
Texto completoMeitz, Mika y Pentti Saikkonen. "PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS". Econometric Theory 27, n.º 6 (31 de mayo de 2011): 1236–78. http://dx.doi.org/10.1017/s0266466611000041.
Texto completoFrancq, Christian y Jean-Michel Zakoïan. "QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS". Econometric Theory 28, n.º 1 (3 de agosto de 2011): 179–206. http://dx.doi.org/10.1017/s0266466611000156.
Texto completoZhang, Mengqi y Boping Tian. "Profile Maximum Likelihood Estimation of Single-Index Spatial Dynamic Panel Data Model". Mathematics 11, n.º 13 (1 de julio de 2023): 2947. http://dx.doi.org/10.3390/math11132947.
Texto completoHussein Jasim, Ahmed, Haider Mehdi Moeen y Ali Hussein Alwan. "Asymptomatic Thyroid dysfunction in patients of chronic renal failure". AL-QADISIYAH MEDICAL JOURNAL 11, n.º 19 (25 de julio de 2017): 203–10. http://dx.doi.org/10.28922/qmj.2015.11.19.203-210.
Texto completoA. Abbas, Yahya, Adnan H. Aubaid y Bushra J. Hamad. "Determination of Hepatitis C Viral Load and Genotypes by Real-Time and RT-PCR at Thi_Qar Province". AL-QADISIYAH MEDICAL JOURNAL 9, n.º 15 (2 de agosto de 2017): 250–64. http://dx.doi.org/10.28922/qmj.2013.9.15.250-264.
Texto completoB. Alawadi, Najlaa. "Interleukin-6 Level among Iraqi Patients with Chronic Lymphocytic Leukemia from Babil Province". AL-QADISIYAH MEDICAL JOURNAL 12, n.º 21 (16 de julio de 2017): 113–23. http://dx.doi.org/10.28922/qmj.2016.12.21.113-123.
Texto completoAsai, Manabu y Michael McAleer. "Multivariate Hyper-Rotated GARCH-BEKK". Journal of Time Series Econometrics, 10 de enero de 2022. http://dx.doi.org/10.1515/jtse-2021-0006.
Texto completoHu, Jianhua, Hao Ding y Xiaoqian Liu. "Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances". Journal of Financial Econometrics, 17 de febrero de 2022. http://dx.doi.org/10.1093/jjfinec/nbab032.
Texto completoTesis sobre el tema "QML asymptotic results"
Royer, Julien. "Processus ARCH d'ordre infini, Bêtas dynamiques et applications financières". Electronic Thesis or Diss., Institut polytechnique de Paris, 2022. http://www.theses.fr/2022IPPAG012.
Texto completoThe modeling of financial time series is made difficult by the presence of stylized facts. These empirical statistical properties led to the development of heteroskedastic nonlinear models. Infinite ARCH specifications have been introduced to allow finer modeling of these stylized facts, and in particular the phenomenon of strong persistence of volatility shocks. We present new extensions to these flexible models and study their inference. First, we consider an asymmetric infinite ARCH model. We prove the existence of a stationary solution and establish the asymptotic properties of the quasi-maximum likelihood estimator in this framework. In particular, we allow the parameter to lie on the boundary of the parameter space, precluding asymptotic normality. Moreover, we introduce a portmanteau test assessing the goodness-of-fit of the model on data. We also propose a test for the presence of memory and asymmetry. In a second time, we consider the modeling of the coefficients of a conditional linear regression. Linear factor models are key to many financial models and regression coefficients are often wrongfully assumed constant. We propose a model allowing for dynamic beta coefficients within the framework of multivariate infinite ARCH models. In particular, we allow the addition of exogenous variables in the dynamics of conditional betas and discuss potential candidates. We establish the conditions of existence of a stationary solution and discuss the existence of its moments. Finally, we consider an asset pricing exercise based on dynamic betas. To this end, we extend the results of statistical tests in the case of score-driven betas and propose a bootstrap procedure. Additionally, we introduce a two-step estimation method to measure the dynamic risk premia underlying the asset pricing model
Capítulos de libros sobre el tema "QML asymptotic results"
Namazovna Adjablaeva, Dinara. "Latent Tuberculous Infection: Influence on Patient’s Quality of Life". En Molecular Epidemiology Study of Mycobacterium Tuberculosis Complex. IntechOpen, 2021. http://dx.doi.org/10.5772/intechopen.96901.
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