Provider: Ingenta Connect
Database: Ingenta Connect
Content: application/x-research-info-systems
TY - ABST
AU - Abutaleb, Ahmed S.
AU - Papaioannou, Michael G.
TI - Maximum likelihood estimation of time-varying parameters: an application to the Athens Stock Exchange index
JO - Applied Economics
PY - 2000-08-15T00:00:00///
VL - 32
IS - 10
SP - 1323
EP - 1328
N2 - The problem of maximum likelihood estimation of time-varying parameters is considered. A hierarchical approach is proposed that involves, first, the estimation of the model order and parameters when they are assumed time-invariant. Second, for each parameter, an autoregressive (AR) model, with constant coefficients, is developed. This allows the parameters to change over time. Finally, the estimates of the AR coefficients for each parameter are used as initial conditions to a time-varying model with AR coefficients, which are allowed to change over time subject to some regularity constraints. This approach is then applied to the Athens Stock Exchange index, where the dominant forces affecting this index are analysed.
UR - http://www.ingentaconnect.com/content/routledg/raef/2000/00000032/00000010/art00011
M3 - doi:10.1080/000368400404470
UR - http://dx.doi.org/10.1080/000368400404470
ER -