Analytic Hessian matrices and the computation of FIGARCH estimates
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Publication:1766976
DOI10.1007/BF02511490zbMath1145.62368MaRDI QIDQ1766976
Giampiero M. Gallo, Marco J. Lombardi
Publication date: 3 March 2005
Published in: Statistical Methods and Applications (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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