کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6869949 | 681132 | 2014 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Maximum likelihood estimation of the Markov-switching GARCH model
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The Markov-switching GARCH model offers rich dynamics to model financial data. Estimating this path dependent model is a challenging task because exact computation of the likelihood is infeasible in practice. This difficulty led to estimation procedures either based on a simplification of the model or not dependent on the likelihood. There is no method available to obtain the maximum likelihood estimator without resorting to a modification of the model. A novel approach is developed based on both the Monte Carlo expectation-maximization algorithm and importance sampling to calculate the maximum likelihood estimator and asymptotic variance-covariance matrix of the Markov-switching GARCH model. Practical implementation of the proposed algorithm is discussed and its effectiveness is demonstrated in simulation and empirical studies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 61-75
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 61-75
نویسندگان
Maciej Augustyniak,