David X Li
Biographic Data
| ID | 8921075 |
|---|---|
| NAME | David X Li |
| GIVEN NAMES | David X |
| FAMILY NAME | Li |
| SIGNATURE | LI D X |
| AFFILIATIONS | Riskmetrics Group |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2000 |
| LATEST PUBLICATION YEAR | 2000 |
| H-INDEX | 0 |
Semiparametric ARCH Models
We introduce the method of estimating functions to study the class of autoregressive conditional heteroscedasticity (ARCH) models. We derive the optimal estimating functions by combining linear and quadratic estimating functions. The resultant estimators are more efficient than the quasi-maximum likelihood estimator. If the assumption of conditional normality is imposed, the estimator obtained by using the theory of estimating functions is identi…
No prominent works on this page.
Semiparametric ARCH Models
We introduce the method of estimating functions to study the class of autoregressive conditional heteroscedasticity (ARCH) models. We derive the optimal estimating functions by combining linear and quadratic estimating functions. The resultant estimators are more efficient than the quasi-maximum likelihood estimator. If the assumption of conditional normality is imposed, the estimator obtained by using the theory of estimating functions is identi…
Applied Mathematics (1 work) · Efficient estimator (1 work) · Estimating equations (1 work) · Estimator (1 work) · Financial Risk and Volatility Modeling (1 work) · Heteroscedasticity (1 work) · Likelihood function (1 work) · M-estimator (1 work) · Mathematics (1 work) · Maximum likelihood (1 work)