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- Thu Oct 28, 2010 2:43 am
- Forum: Estimation
- Topic: Corr Garch
- Replies: 0
- Views: 1512
Corr Garch
Hi, I'm working with a specific type of garch that modelates dynamic correlation structure between returns of various indexes. It is relativily a new one, called CorrGarch. I was wondering if someone have program the actual algorithms for a quasi maximum likelihood estimation with that aproach, or o...
