Article ID Journal Published Year Pages File Type
1153192 Statistics & Probability Letters 2013 9 Pages PDF
Abstract

This paper applied the maximization by parts (MBP) and the modified MBP (MMBP) methods to estimate the C-MGARCH model and compare the effectiveness of two methods. Monte Carlo simulation studies show that both MBP and MMBP methods are more efficient than that of the IFM method.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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