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Estimation of C-MGARCH models based on the MBP method

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  • Li, Lihui
  • Wen, Tao

Abstract

This paper applied the maximization by parts (MBP) and the modified MBP (MMBP) methods to estimate the C-MGARCH model and compare the effectiveness of two methods. Monte Carlo simulation studies show that both MBP and MMBP methods are more efficient than that of the IFM method.

Suggested Citation

  • Li, Lihui & Wen, Tao, 2013. "Estimation of C-MGARCH models based on the MBP method," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 665-673.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:665-673
    DOI: 10.1016/j.spl.2012.10.009
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    References listed on IDEAS

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    Keywords

    MGARCH models; Copula; MBP; MMBP;
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