Alternative estimators of the covariance matrix in GARCH models
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Citations
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Cited by:
- Amélie Charles & Olivier Darné, 2019. "The accuracy of asymmetric GARCH model estimation," Post-Print hal-01943883, HAL.
- Amélie Charles & Olivier Darné, 2019.
"The accuracy of asymmetric GARCH model estimation,"
International Economics, CEPII research center, issue 157, pages 179-202.
- Charles, Amélie & Darné, Olivier, 2019. "The accuracy of asymmetric GARCH model estimation," International Economics, Elsevier, vol. 157(C), pages 179-202.
- repec:hal:wpaper:hal-01943883 is not listed on IDEAS
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More about this item
Keywords
GARCH model; Hessian matrix; outer products; maximum likelihood;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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