Estimation of C-MGARCH models based on the MBP method
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.
Volume (Year): 83 (2013)
Issue (Month): 2 ()
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