This paper examines the relatively small number of software packages that are currently available for estimating such models, in spite of their widespread use. Web: Director: Professor Brian Scott-Quinn, ISMA Chair in Investment Banking The ISMA Centre is supported by the International Securities Market AssociationĪbstract A large number of important practical tasks can be accomplished using a multivariate GARCH model.of Economics, University of BristolĬopyright 2003 Brooks, Burke and Persand. of Economics, University of Reading Gita Persand Dept. Multivariate GARCH Models: Software Choice and Estimation Issues ISMA Centre Discussion Papers in Finance 2003-07 April 2003Ĭhris Brooks ISMA Centre, University of Reading Simon Burke Dept.
THE BUSINESS SCHOOL FOR FINANCIAL MARKETS
0 kommentar(er)
