Re-Parameterization of multi-regime STAR-GARCH model
© MODSIM 2009.All rights reserved. It is well known in the literature that the joint parameter estimation of the Smooth Autoregressive - Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) models poses many numerical challenges with unknown causes. This paper aims to uncover the r...
| Main Authors: | , |
|---|---|
| Format: | Conference Paper |
| Published: |
2009
|
| Online Access: | http://hdl.handle.net/20.500.11937/82027 |