Multimodality in the 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...
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| Format: | Working paper |
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Nuffield College (University of Oxford)
2003
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