Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations
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- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270719, HAL.
- Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Post-Print halshs-00270719, HAL.
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More about this item
Keywords
BL-GARCH process; elliptical distribution; leverage effects; maximum likelihood; Monte Carlo method; volatility clustering;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-05-17 (Econometrics)
- NEP-ETS-2008-05-17 (Econometric Time Series)
- NEP-ORE-2008-05-17 (Operations Research)
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