Fourth order pseudo maximum likelihood methods
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- Alberto Holly & Alain Monfort & Michael Rockinger, 2011. "Fourth order pseudo maximum likelihood methods," Post-Print hal-00815562, HAL.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009. "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011. "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers 2011-05, Center for Research in Economics and Statistics.
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- Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
- Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
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More about this item
Keywords
Quartic exponential family Pseudo maximum likelihood Skewness Kurtosis;JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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