Dynamic Tobit models
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Cited by:
- Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
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More about this item
Keywords
Censored distributions; dynamic conditional score model; EGARCH models; logistic distribution; generalized t distribution;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-02-18 (Econometrics)
- NEP-ETS-2019-02-18 (Econometric Time Series)
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