Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Antonis Demos"'
Autor:
Sofia Anyfantaki, Antonis Demos
Publikováno v:
Journal of Probability and Statistics, Vol 2011 (2011)
Time-varying GARCH-M models are commonly used in econometrics and financial economics. Yet the recursive nature of the conditional variance makes exact likelihood analysis of these models computationally infeasible. This paper outlines the issues and
Externí odkaz:
https://doaj.org/article/23bda20df6cb48bca40cacd5c514efc1
Autor:
Dimitra Kyriakopoulou, Antonis Demos
Publikováno v:
Journal of Time Series Econometrics, (2018)
We derive the analytical expressions of bias approximations for maximum likelihood (ML) and quasi-maximum likelihood (QML) estimators of the EGARCH (1,1) parameters that enable us to correct after the bias of all estimators. The bias-correction mecha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2fc8d8be3536dfb9504f8154e3ea17b8
https://doi.org/10.1515/jtse-2018-0010
https://doi.org/10.1515/jtse-2018-0010
Autor:
Antonis Demos, Stelios Arvanitis
Publikováno v:
The Econometrics Journal. 18:200-241
Summary In this paper, we define a set of indirect inference estimators based on moment approximations of the auxiliary estimators. Their introduction is motivated by reasons of analytical and computational facilitation. Their definition provides an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bf3a1b0b59a3959d18a6417e67f8e2cb
https://doi.org/10.1111/ectj.12045
https://doi.org/10.1111/ectj.12045
Autor:
Antonis Demos, Stelios Arvanitis
Publikováno v:
Journal of Time Series Analysis. 25:1-25
In this paper we consider the time series dependence, stationarity, and higher moments issues of a family of first-order conditionally heteroskedastic in mean models with a possibly time-varying mean parameter. The interest in these models lies in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::66b881a3e049ff5f8cd56c0dd4ea0cc0
https://doi.org/10.1046/j.0143-9782.2003.01771.x
https://doi.org/10.1046/j.0143-9782.2003.01771.x
Autor:
Stelios Arvanitis, Antonis Demos
In this paper we define a set of Indirect Inference estimators based on moment approximations of the auxiliary ones. Their introduction is motivated by reasons of analytical and computational facilitation. Their definition provides an indirect infere
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::739d9c5f9234fe901fda53f81779cb35
http://wpa.deos.aueb.gr/docs/GMR2star-revis.pdf
http://wpa.deos.aueb.gr/docs/GMR2star-revis.pdf
Autor:
Stelios Arvanitis, Antonis Demos
This paper deals with higher order asymptotic properties for three indirect inference estimators. We provide conditions that ensure the validity of locally uniform, with respect to the parameter, Edgeworth approximations. When these are of sufficient
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c7e55843e8d130071a9e26cec41abfab
http://wpa.deos.aueb.gr/docs/bias-ii-ee.pdf
http://wpa.deos.aueb.gr/docs/bias-ii-ee.pdf
Autor:
Antonis Demos, Enrique Sentana
Publikováno v:
Journal of Econometrics. 86:97-127
ARCH models often lie at the boundary of the parameter space under conditional homoskedasticity, which invalidates the usual s2 distribution of LR and Wald tests. Although LM tests are not a⁄ected, the one-sided nature of the alternative hypothesis
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8e71adf507951b05776c09fcf60625ee
https://doi.org/10.1016/s0304-4076(97)00110-3
https://doi.org/10.1016/s0304-4076(97)00110-3
Autor:
Antonis Demos, Enrique Sentana
Publikováno v:
Journal of Business & Economic Statistics. 16:357-361
This article discusses the application of the EM algorithm to factor models with dynamic heteroscedasticity in the common factors. It demonstrates that the EM algorithm reduces the computational burden so much that researchers can estimate such model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1457305e10787245b4ee19a6752015eb
https://doi.org/10.1080/07350015.1998.10524775
https://doi.org/10.1080/07350015.1998.10524775
Autor:
Antonis Demos, Stelios Arvanitis
Publikováno v:
Journal of Time Series Econometrics. 6
This article examines the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. This could be useful for the establishment of high-order asymptotic properties for estimators and test statistics that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cb5d2e7fb02f826008fa8654bb5b6399
https://doi.org/10.1515/jtse-2012-0003
https://doi.org/10.1515/jtse-2012-0003
Autor:
Antonis Demos, Stelios Arvanitis
This extended appendix contains detailed proofs for the results in the paper "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators".
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8c42166822305717886c9aadd80acb34
http://wpa.deos.aueb.gr/docs/bias-ii-revis-jspi-ta.pdf
http://wpa.deos.aueb.gr/docs/bias-ii-revis-jspi-ta.pdf