Maximum likelihood estimation for a nearly random walk model

DOI10.1080/03610920008832509zbMath1018.62070OpenAlexW2064878388MaRDI QIDQ4541715

K. S. Man

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920008832509

zbMATH Keywords

maximum likelihood estimatesreparameterizationstructural modelexact likelihood functionstock market returnsnearly unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Economic time series analysis (91B84)

Cites Work

• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Asymptotic behaviour of temporal aggregates of time series
• Unnamed Item

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