Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Author
- BOLLERSLEV, T; WOOLDRIDGE, J. M
Northwestern univ., J. L. Kellogg graduate school management, dep. finance, United States - Source
Econometric reviews. 1992, Vol 11, Num 2, pp 143-172 ; ref : 3 p
- ISSN
- 0747-4938
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Dekker, New York, NY
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Estimateur convergent Maximum vraisemblance Modèle dynamique Modèle économétrique Multiplicateur Lagrange Normalité asymptotique Robustesse test Simulation statistique Volatilité Modèle GARCH Quasi vraisemblance
- Keyword (en)
- Consistent estimator Maximum likelihood Dynamic model Econometric model Lagrange multiplier Asymptotic normality Test robustness Statistical simulation Volatility Quasi likelihood
- Keyword (es)
- Estimador convergente Maxima verosimilitud Modelo dinámico Modelo econométrico Multiplicador Lagrange Normalidad asintótica Robustez prueba Simulación estadística Volatibilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02G Parametric inference
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 3842807
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1080/07474939208800229 
https://dx.doi.org/10.1080/07474939208800229
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