Multimodality and the GARCH Likelihood
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- Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
- Eric Hillebrand & Gunther Schnabl, 2003.
"The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection,"
Departmental Working Papers
2003-09, Department of Economics, Louisiana State University.
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- Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004 7, Money Macro and Finance Research Group.
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- Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.
- Laurini, M. P. & Portugal, M. S., 2003. "Long Memory int the R$/US$ Exchange Rate: A Robust Analysis," Finance Lab Working Papers flwp_50, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- repec:wsi:ceprxx:v:02:y:2013:i:02:n:s1793969013500076 is not listed on IDEAS
More about this item
KeywordsGARCH; EGARCH; multimodality; dummy variable; parameter space;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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