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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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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2009-10-01
Paper number:
458
Pubs id:
1143979
Local pid:
pubs:1143979
Deposit date:
2020-12-15

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