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by Lix
Wed Mar 31, 2010 1:55 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 74140

Re: Dynamic conditional correlation multivariate GARCH

Does anyone know how to set up the loglikelihood for Trivariate DCC? Can I used a QMLE to estimate Trivariate DCC?
Thanks.

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