Pakel, Cavit; Shephard, Neil; Sheppard, Kevin - Finance Research Centre, Oxford University - 2009
We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters of interest are assumed to be common. CL...