Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models*

We analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter.

متن کامل

Quasi-maximum Likelihood Estimation of Long-memory Limiting Aggregate Processes

We consider the application of the limiting aggregate model derived by Tsai and Chan (2005d) for modeling aggregated long-memory data. The model is characterized by the fractional integration order of the original process and may be useful for (i) modeling discrete-time data with sufficiently long sampling intervals, for example, annual data, and/or (ii) studying the fractional integration orde...

متن کامل

Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at . http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive...

متن کامل

Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial application...

متن کامل

Quasi-Maximum Likelihood Estimation of Multivariate Diffusions

This paper introduces quasi-maximum likelihood estimator for multivariate diffusions based on discrete observations. A numerical solution to the stochastic differential equation is obtained by higher order Wagner-Platen approximation and it is used to derive the first two conditional moments. Monte Carlo simulation shows that the proposed method has good finite sample property for both normal a...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Risk and Financial Management

سال: 2019

ISSN: 1911-8074

DOI: 10.3390/jrfm12020074