Nuisance parameters, composite likelihoods and a panel of GARCH models
Year of publication: |
2009-10-02
|
---|---|
Authors: | Pakel, Cavit ; Shephard, Neil ; Sheppard, Kevin |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | ARCH models | composite likelihood | nuisance parameters | panel data |
-
Nuisance parameters, composite likelihoods and a panel of GARCH models
Pakel, Cavit, (2009)
-
Fitting vast dimensional time-varying covariance models
Engle, Robert, (2008)
-
Fitting vast dimensional time-varying covariance models
Shephard, Neil, (2008)
- More ...
-
Mykland, Per A., (2012)
-
Realising the future: forecasting with high frequency based volatility (HEAVY) models
Shephard, Neil, (2009)
-
Multivariate Rotated ARCH Models
Noureldin, Diaa, (2012)
- More ...