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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- 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.
- Gabriele Fiorentini & Enrique Sentana, 2010.
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0734, Faculty of Economics, University of Cambridge.
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"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.
- Enrique Sentana & Gabriele Fiorentini, 2007.
"On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models,"
- 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 & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
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