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by toninho
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 ...

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