Nuisance parameters, composite likelihoods and a panel of GARCH models
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...
| প্রধান লেখক: | , |
|---|---|
| বিন্যাস: | Working paper |
| প্রকাশিত: |
University of Oxford
2009
|