Journal of Applied Econometrics, Vol. 27, No. 6, Themes on Modelling Volatility (September-October 2012), pp. 934-955 (22 pages) This paper addresses the question of the selection of multivariate ...
The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the ...
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