Efficient estimation of copula-GARCH models

Computational Statistics and Data Analysis

Volumn 53, Issue 6, 2009, Pages 2284-2297

  Liu, Yan ^a   Luger, Richard ^b  

^a LYZ Capital Advisors LLC   (United States)

^b EMORY UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION ALGORITHMS; BENCHMARKING; CONVERGENCE OF NUMERICAL METHODS; ESTIMATION;

CONVERGENCE DIFFICULTIES; DEGREE OF CORRELATIONS; EFFICIENCY GAINS; ESTIMATION ALGORITHMS; GARCH MODELS; LIKELIHOOD FUNCTIONS; MARGINALS; MAXIMUM-LIKELIHOOD ESTIMATIONS; MODIFIED ALGORITHMS; NUMERICAL EXAMPLES; ORIGINAL ALGORITHMS; SECOND-ORDER DERIVATIVES; STOCK MARKET INDICES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 61549108640     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2008.01.018     Document Type: Article

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