Alternative estimators of the covariance matrix in GARCH models
Year of publication: |
1993
|
---|---|
Authors: | Calzolari, Giorgio ; Fiorentini, Gabriele ; Panattoni, Lorenzo |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | GARCH model | Hessian matrix | outer products | maximum likelihood |
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