Analytic derivatives and the computation of GARCH estimates
G Fiorentini, G Calzolari… - Journal of applied …, 1996 - Wiley Online Library
In the context of univariate GARCH models we show how analytic first and second
derivatives of the log‐likelihood can be successfully employed for estimation purposes …
derivatives of the log‐likelihood can be successfully employed for estimation purposes …
[PDF][PDF] Conditional heteroskedasticity: some results on estimation, inference and signal extraction, with an application to seasonal adjustment
G Fiorentini - 1995 - cadmus.eui.eu
This thesis is about economic time series analysis and econometrics. It cen ters around the
use of Autoregressive Conditional Heteroskedasticity models (Arch), even though Arch …
use of Autoregressive Conditional Heteroskedasticity models (Arch), even though Arch …
[PDF][PDF] Conditional heteroskedasticity in nonlinear simultaneous equations
G Calzolari, G Fiorentini - 1994 - cadmus.eui.eu
EUI WORKING PAPERS IN ECONOMICS Page 1 EUI WORKING PAPERS IN ECONOMICS
EUI Working Paper ECO No. 94/44 Conditional Heteroskedastidty in Nonlinear …
EUI Working Paper ECO No. 94/44 Conditional Heteroskedastidty in Nonlinear …
Alternative estimators of the covariance matrix in GARCH models
G Calzolari, G Fiorentini, L Panattoni - 1993 - mpra.ub.uni-muenchen.de
With most of the available software packages, estimates of the parameter covariance matrix
in a GARCH model are usually obtained from the outer products of the first derivatives of the …
in a GARCH model are usually obtained from the outer products of the first derivatives of the …
[PDF][PDF] In Quest of the Philosophers' Stone: Nonlinearities and Volatility in Financial Series
RG Avesani, L Buzzigoli, GM Gallo - academia.edu
A survey on The Economist (Oct. 9th, 1993) was recently dedicated to the frontiers of nance,
a virtual place where nancial analysts, statisticians, mathematicians, economists, computer …
a virtual place where nancial analysts, statisticians, mathematicians, economists, computer …