Wake me up before you GO-GARCH
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- Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Roy van der Weide, 2004. "Wake me up before you GO-GARCH," Computing in Economics and Finance 2004 316, Society for Computational Economics.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
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More about this item
KeywordsMultivariate GARCH; Non-Linear Least-Squares; Maximum Likelihood;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-07 (All new papers)
- NEP-ECM-2006-10-07 (Econometrics)
- NEP-ETS-2006-10-07 (Econometric Time Series)
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