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- Thu Apr 15, 2010 2:16 pm
- Forum: Estimation
- Topic: Constant conditional correlation bivariate GARCH
- Replies: 6
- Views: 13283
Constant conditional correlation bivariate GARCH
Does anybody know how can I write a program to estimate a bivariate version Bollerslev's (1990) constant conditional correlation multivariate GARCH. I know that eviews can do it out of the box, without the need for a program, but since I want to parametrize the covariance equation in order to allow ...
