Angeles, Carnero M.; Hakan, Eratalay M. - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 3, pp. 27-27
This paper analyzes the performance of multiple steps estimators of vector autoregressive multivariate conditional correlation GARCH models by means of Monte Carlo experiments. We show that if innovations are Gaussian, estimating the parameters in multiple steps is a reasonable alternative to...