This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Analytic Score for Multivariate GARCH Models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Riccardo LUCCHETTI () (Universita' Politecnica delle Marche, Dipartimento di Economia)

Additional information is available for the following registered author(s):

Abstract

Multivariate GARCH models constitute the workhorse of empirical applications in several elds, a notable example being nancial econometrics. Unfortunately, ML (or quasi-ML) estimation of such models, although relatively straightforward in theory, is often made dicult by the fact that available software relies on numerical methods for computing the rst derivatives of the log-likelihood; the fact that these models often include several dozens of parameters makes it impractical to estimate even medium-sized models. In this paper, closed-form expressions for the score of the BEKK model of Engle and Kroner (1995) are obtained, and strategies for ecient computation are discussed.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://dea2.univpm.it/quaderni/pdf/119.pdf
File Format: application/pdf
File Function: First version, 1999
Download Restriction: no

Publisher Info
Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Economia in its series Working Papers with number 119.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Oct 1999
Date of revision:
Handle: RePEc:anc:wpaper:119

Contact details of provider:
Web page: http://www.dea.univpm.it/

For technical questions regarding this item, or to correct its listing, contact: (Maurizio Mariotti).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika, Springer, vol. 67(2), pages 219-239, March. [Downloadable!] (restricted)
    Other versions:
  2. Lucchetti, Riccardo & Palomba, Giulio, 2008. "Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity," MPRA Paper 11571, University Library of Munich, Germany. [Downloadable!]
  3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2009-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.