Nuisance parameters, composite likelihoods and a panel of GARCH models

Nuisance parameters, composite likelihoods and a panel of GARCH models

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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...

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Bibliografiske detaljer
Main Authors:	Shephard, N, Sheppard, K
Format:	Working paper
Udgivet:	University of Oxford 2009

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