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

Abstract:

We investigate the properties of the composite likelihood (CL) method for (T x NT) GARCH panels. The defining feature of a GARCH panel with time series 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 illustate that in reasonably large T CL performs well. However, due...

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Authors


Cavit Pakel More by this author
Neil Shephard More by this author
Kevin Sheppard More by this author
Volume:
458
Series:
Discussion paper series
Publication date:
2009-10-05
URN:
uuid:4a2e3870-50d0-4375-9ea4-9e94c3b01e33
Local pid:
oai:economics.ouls.ox.ac.uk:14262
Language:
English

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