Analytical quasi maximum likelihood inference in multivariate volatility models
نویسندگان
چکیده
منابع مشابه
Analytical quasi maximum likelihood inference in multivariate volatility models
Quasi maximum likelihood estimation and inference in multivariate volatility models remains a challenging computational task if, for example, the dimension is high. One of the reasons is that typically numerical procedures are used to compute the score and the Hessian, and often they are numerically unstable. We provide analytical formulae for the score and the Hessian and show in a simulation ...
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ژورنال
عنوان ژورنال: Metrika
سال: 2007
ISSN: 0026-1335,1435-926X
DOI: 10.1007/s00184-007-0130-y