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UvA-DARE ( Digital Academic Repository ) Wake me up before you GO-GARCH
| Content Provider | Semantic Scholar |
|---|---|
| Author | Boswijk Weide, Van Der |
| Copyright Year | 2006 |
| Abstract | In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in largerdimensional systems, where a full likelihood optimization is often infeasible. The effectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://pure.uva.nl/ws/files/4360328/145459_381fulltext.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
