Multimodality in GARCH Regression Models.

It is shown empirically that mixed autoregressive moving average regression models with generalized autoregressive conditional heteroskedasticity (Reg-ARMA-GARCH models) can have multimodality in the likelihood that is caused by a dummy variable in the conditional mean. Maximum likelihood estimates...

Полное описание

Библиографические подробности
Главные авторы: Doornik, J, Ooms, M
Формат: Journal article
Язык:English
Опубликовано: Elsevier 2008