Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

Mirko Armillotta; Peter Reinhard Hansen

doi:10.1016/j.jeconom.2024.105894

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Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

Mirko Armillotta Peter Reinhard Hansen

Year: 2024 Journal: Journal of Econometrics Vol: 246 (1-2)Pages: 105894-105894 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2024.105894

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Keywords:

Series (stratigraphy) Mathematics Estimation Econometrics Statistics Maximum likelihood Parametric statistics Variance (accounting) Time series Semiparametric model Parametric model Restricted maximum likelihood Applied mathematics Economics

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Market Dynamics and Volatility

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

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