Li, Lihui; Wen, Tao - In: Statistics & Probability Letters 83 (2013) 2, pp. 665-673
This paper applied the maximization by parts (MBP) and the modified MBP (MMBP) methods to estimate the C-MGARCH model and compare the effectiveness of two methods. Monte Carlo simulation studies show that both MBP and MMBP methods are more efficient than that of the IFM method.