Analytic Derivatives and the Computation of GARCH Estimates
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- Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
References listed on IDEAS
- Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
- Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
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- McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.
- Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, vol. 14(2), pages 203-225, October.
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- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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