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Estimation of C-MGARCH models based on the MBP method
- Source :
-
Statistics & Probability Letters . Feb2013, Vol. 83 Issue 2, p665-673. 9p. - Publication Year :
- 2013
-
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]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 83
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 84477609
- Full Text :
- https://doi.org/10.1016/j.spl.2012.10.009