Essays about: "quasi-maximum likelihood"
Found 3 essays containing the words quasi-maximum likelihood.
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1. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). READ MORE
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2. Misspecification and inference : A review and case studies
University essay from Umeå universitet/StatistikAbstract : When conducting inference we usually have to make some assumptions. A common assumption is that the parametric model which describes the behavior of the investigated random phenomena is correctly specied. If not, some of the inferential methods does not provide valid inference, e.g. READ MORE
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3. On the use of Quasi-Maximum Likelihood Estimation and Indirect Method for Stochastic Volatility models
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : Stochastic volatility models have been focus for research in recent years. One interesting and important topic has been the estimation procedure. For a given stochastic volatility model this project aims to compare two methods of parameter estimation. . READ MORE
