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Constrained Indirect Estimation
15 references·5 citing·44 second hop
Constrained Indirect Estimation (2004)Constrained Indirect EstimationMaximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations (2003)Maximum Likelihood Estimation…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Calibration by simulation for small sample bias correction (2000)Calibration by simulation for…Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (1999)Efficient method of moments e…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…New Minimum Chi-Square Methods in Empirical Finance (1998)New Minimum Chi-Square Method…Estimating stochastic differential equations efficiently by minimum chi-squared (1997)Estimating stochastic differe…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…[Bayesian Analysis of Stochastic Volatility Models]: Reply (1994)[Bayesian Analysis of Stochas…Estimating nonlinear time-series models using simulated vector autoregressions (1993)Estimating nonlinear time-ser…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…M&A rumors about unlisted firms (2021)M&A rumors about unlisted fir…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations (2009)Distributional Tests in Multi…Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (2008)Indirect estimation of large …Indirect estimation of -stable stochastic volatility models (2008)Indirect estimation of -stabl…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions (1998)BUGS for a Bayesian analysis of stochastic volatility models (2000)Estimation of Dynamic Term Structure Models (2012)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A test for volatility spillover with application to exchange rates (2001)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)The Pricing of Options and Corporate Liabilities (1973)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Empirical pricing kernels (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Time to Build and Aggregate Fluctuations (1982)Investment, Capacity Utilization and the Real Business Cycle (1986)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)On the Nature of Capital Adjustment Costs (2006)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Parametric and Nonparametric Volatility Measurement (2010)On testing overidentifying restrictions in dynamic panel data models (2002)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Multivariate Stochastic Volatility: A Review (2006)How Relevant is Volatility Forecasting for Financial Risk Management? (2000)Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)
this work references cited by second hop

References

  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1993Estimating nonlinear time-series models using simulated vector autoregressions686 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models458 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models388 cited
  • 1999Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study220 cited
  • 1994[Bayesian Analysis of Stochastic Volatility Models]: Reply196 cited
  • 1997Estimating stochastic differential equations efficiently by minimum chi-squared163 cited
  • 2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models With StudenttInnovations145 cited
  • 1998New Minimum Chi-Square Methods in Empirical Finance93 cited

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  • 2000Calibration by simulation for small sample bias correction90 cited
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    • 2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks61 cited
    • 2021M&A rumors about unlisted firms44 cited
    • 2008Indirect estimation of -stable stochastic volatility models38 cited
    • 2009Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations32 cited
    • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited