Sciweavers

68
Voted
CSDA
2010
99views more  CSDA 2010»
15 years 11 days ago
Robust M-estimation of multivariate GARCH models
In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator...
Kris Boudt, Christophe Croux