Journal article icon

Journal article

Nuisance parameters, composite likelihoods and a panel of GARCH models.

Abstract:

We investigate the properties of the composite likelihood (CL) method for (T × NT ) GARCH panels. The defining feature of a GARCH panel with timeseries length T is that, while nuisance parameters are allowed to vary across NT series, other parameters of interest are assumed to be common. CL pools information across the panel instead of using information available in a single series only. Simulations and empirical analysis illustrate that when T is reasonably large CL performs well. However, d...

Expand abstract

Actions


Access Document


Files:

Authors


Publisher:
Academia Sinica
Journal:
Statistica Sinica
Volume:
21
Issue:
1
Pages:
307 - 329
Publication date:
2011-01-01
ISSN:
1017-0405
Language:
English
UUID:
uuid:38536659-3cb2-473a-a733-39a96c88bd7f
Local pid:
oai:economics.ouls.ox.ac.uk:15007
Deposit date:
2011-08-16

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP