Emma M. Iglesias

Michigan State University

Agriculture Hall

East Lansing, MI 48824-1122

United States

SCHOLARLY PAPERS

4

DOWNLOADS

164

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Semiparametric Inference in a GARCH-in-Mean Model

CREATES Research Paper No. 2008-46
Number of pages: 49 Posted: 02 Sep 2008
Aarhus University, Department of Business and Economics and Michigan State University
Downloads 91 (287,991)
Citation 4

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Efficiency bound, GARCH-M model, Profile likelihood, Risk-return relation, Semiparametric inference

2.

The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models

Number of pages: 38 Posted: 04 Jul 2008
Christian Dahl and Emma M. Iglesias
affiliation not provided to SSRN and Michigan State University
Downloads 39 (437,845)
Citation 1

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Asymmetric volatility models, Asymmetric news impact curves, Quasi maximum likelihood estimation, Asymptotic Theory, Bootstrap

3.

Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary

CREATES Research Paper 2009-59
Number of pages: 63 Posted: 20 Dec 2009
Christian M. Dahl and Emma M. Iglesias
Department of Business and Economics and Michigan State University
Downloads 32 (468,003)

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Quasi-Maximum Likelihood, GARCH-M Model, Asymptotic Properties, Risk-return Relation

4.

Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation

Journal of Time Series Analysis, Vol. 29, Issue 4, pp. 719-737, July 2008
Number of pages: 19 Posted: 19 Jun 2008
Emma M. Iglesias and Garry D. A. Phillips
Michigan State University and Cardiff Business School - Department of Economics
Downloads 2 (652,343)
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