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1. Estimation of C-MGARCH models based on the MBP method

Author

Li, Lihui and Wen, Tao

Subjects
*ESTIMATION theory, *MATHEMATICAL models, *MONTE Carlo method, *MATHEMATICAL analysis, *NUMERICAL analysis, *MATHEMATICAL statistics
Abstract

Abstract: This paper applied the maximization by parts (MBP) and the modified MBP (MMBP) methods to estimate the C-MGARCH model and compare the effectiveness of two methods. Monte Carlo simulation studies show that both MBP and MMBP methods are more efficient than that of the IFM method. [Copyright &y& Elsevier]

Published
2013
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