Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...
It has become common practice to fit Garch models to financial time series by means of pseudo-maximum likelihood. In this study we investigate the behavior of several maximum likelihood-based methods ...
Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...
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