Analytic derivatives and the computation of garch estimates

Journal of Applied Econometrics

Volumn 11, Issue 4, 1996, Pages 399-417

  Fiorentini, Gabriele ^a  

^a UNIVERSITY OF FLORENCE   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21344455469     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199607)11:4<399::AID-JAE401>3.0.CO;2-R     Document Type: Article

References (13)

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3. Belsley, D. A. (1980), 'On the efficient computation of the nonlinear full-information maximum-likelihood estimator', Journal of Econometrics, 14, 203-225.
4. Berndt, E. K., B. H. Hall, R. E. Hall and J. A. Hausman (1974), 'Estimation and inference in nonlinear structural models', Annals of Economic and Social Measurement, 3, 653-665.
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6. Bollerslev, T. (1986), 'Generalized autoregressive conditional heteroskedasticity', Journal of Econometrics, 31, 307-327.
7. McCurdy, T. and I. G. Morgan (1988), 'Testing the martingale hypothesis in deutsche-mark futures with models specifying the form of heteroscedasticity", Journal of Applied Econometrics, 3, 187-202.
8. Parks, R. W. and N. E. Savin (1990), 'The Choice of coefficients covariance matrix estimator: outer product versus Hessian', The University of Iowa, Department of Economics, working paper presented at the 6th World Congress of the Econometric Society, Barcelona.
9. Pierre, D. A. (1969), Optimization Theory with Applications, New York: John Wiley.
10. Schweppe, F. (1965), 'Evaluation of likelihood functions for Gaussian signals', IEEE Transactions on information, 11, 61-70.
11. Thomas, A. (1991), 'Implied non-linear ARCH models in computing optimal auction bids', discussion paper, GREMAQ, Toulouse.
12. White, H. (1982), 'Maximum likelihood estimation of misspecified models', Econometrica, 50, 1-25.
13. White, H. (1983), 'Corrigendum', Econometrica, 51, 513.