Method of Moments Estimation of GO-GARCH Models
We propose a new estimation method for the factor loading matrix in generalized orthogonal GARCH (GO-GARCH) models. The method is based on eigenvectors of suitably defined sample autocorrelation matrices of squares and cross-products of returns. The method is numerically more attractive than likelih...
| Main Authors: | , |
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| Language: | EN |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10986/4839 |