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  • Search: subject:"Composite Likelilhood"
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Year of publication
Subject
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ARCH Models 1 Composite Likelilhood 1 Dynamic Conditional Correlations 1 Incidental Parameters 1 Quasi-Likelihood 1 Time-Varying Covariances 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Engle, Robert F. 1 Shephard, Neil 1 Sheppard, Kevin 1
Institution
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Department of Economics, Oxford University 1
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Economics Series Working Papers / Department of Economics, Oxford University 1
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RePEc 1
Showing 1 - 1 of 1
Did you mean: subject:"Composite likelihood" (63 results)
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Fitting vast dimensional time-varying covariance models
Shephard, Neil; Sheppard, Kevin; Engle, Robert F. - Department of Economics, Oxford University - 2008
Building models for high dimensional portfolios is important in risk management and asset allocation.  Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied...
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