The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases
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Bibliographic InfoPaper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9420.
Length: 17 pages
Date of creation: 1994
Date of revision:
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Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
Web page: http://www.cemfi.es/
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LIKELIHOOD FUNCTIONS; EVALUATION;
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- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper Series
38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
- Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo Group Munich.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometric Society, vol. 62(4), pages 901-33, July.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
- Gabriele Fiorentini & Enrique Sentana, 2010.
"Dynamic Specification Tests for Static Factor Models,"
Working Paper Series
04_10, The Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers wp2009_0912, CEMFI.
- Pesaran, Bahram & Pesaran, M. Hashem, 2007.
"Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution,"
IZA Discussion Papers
2906, Institute for the Study of Labor (IZA).
- Pesaran, B. & Pesaran, M.H., 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics 0734, Faculty of Economics, University of Cambridge.
- Pesaran, Bahram & Pesaran, M. Hashem, 2010.
"Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash,"
Elsevier, vol. 27(6), pages 1398-1416, November.
- Bahram Pesaran & M. Hashem Pesaran, 2010. "Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash," CESifo Working Paper Series 3023, CESifo Group Munich.
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