Sökning: "quasi-maximum likelihood"

Hittade 3 uppsatser innehållade orden quasi-maximum likelihood.

1. 1. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Carl Nilsson; [2016]
   Nyckelord :Monte Carlo simulation; stochastic volatility; Markov chain Monte Carlo; quasi-maximum likelihood; generalized method of moments; Business and Economics;

   Sammanfattning : 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). LÄS MER

3. 2. Misspecification and inference : A review and case studies

   Magister-uppsats, Umeå universitet/Statistik

   Författare :Gabriel Wallin; [2015]
   Nyckelord :;

   Sammanfattning : 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. LÄS MER

4. 3. On the use of Quasi-Maximum Likelihood Estimation and Indirect Method for Stochastic Volatility models

   Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Författare :Gulmira Ishakova; [2008]
   Nyckelord :QMLE; Indirect Method;

   Sammanfattning : 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. . LÄS MER