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Publication:3074773
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zbMath1206.62154MaRDI QIDQ3074773

Cavit Pakel, Neil Shephard, Kevin Sheppard

Publication date: 10 February 2011

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J21N1/J21N113/J21N113.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

ARCH modelspanel data


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (7)

Variance clustering improved dynamic conditional correlation MGARCH estimators ⋮ Modeling panels of extremes ⋮ Bootstrap inference for linear dynamic panel data models with individual fixed effects ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Disentangling systematic and idiosyncratic dynamics in panels of volatility measures ⋮ Multivariate rotated ARCH models ⋮ Inference from PseudoLikelihoods with Plug-In Estimates




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