Likelihood stabilization for ill-conditioned vector GARCH models
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Volume (Year): 24 (2009)
Issue (Month): 1 (February)
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References listed on IDEAS
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- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Robert F. Engle & Victor Ng & Michael Rothschild, 1988.
"Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills,"
NBER Technical Working Papers
0065, National Bureau of Economic Research, Inc.
- Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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