Linear programming-based estimators in nonnegative autoregression

Author:

Preve Daniel

Funder

Research Grants Council of the Hong Kong Special Administrative Region, China

Jan Wallander and Tom Hedelius Research Foundation

Sim Kee Boon Institute for Financial Economics

Institute’s Centre for Financial Econometrics, at Singapore Management University

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference47 articles.

1. Inverse Gaussian autoregressive models;Abraham;Journal of Time Series Analysis,1999

2. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

3. Maximum likelihood estimation for α-stable autoregressive processes;Andrews;The Annals of Statistics,2009

4. Model identification for infinite variance autoregressive processes;Andrews;Journal of Econometrics,2013

5. Weather Derivatives: Modeling and Pricing Weather-Related Risk;Alexandridis,2013

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