Efficient estimation of copula-GARCH models
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Publication:961423
DOI10.1016/j.csda.2008.01.018zbMath1453.62140MaRDI QIDQ961423
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2008.01.018
62P20: Applications of statistics to economics
62-08: Computational methods for problems pertaining to statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
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- Multivariate Dispersion Models Generated From Gaussian Copula
- Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
- Maximization by Parts in Likelihood Inference
- Numerical Methods of Statistics