Likelihood stabilization for ill-conditioned vector GARCH models

Miguel Jerez, José Casals () and Sonia Sotoca ()

Computational Statistics, 2009, vol. 24, issue 1, 15-35

Keywords: Vector GARCH; Maximum-likelihood; Likelihood stabilization; C320; C510 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00180-007-0104-6

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