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Query: faculty: "FEB" and publication year: "2006"

AuthorsH.P. Boswijk, R. van der Weide
TitleWake me up before you GO-GARCH
PublisherUniversiteit van Amsterdam, Amsterdam School of Economics
PlaceAmsterdam
Year2006
Pages27
Title seriesUvA Econometrics discussion paper
Series number2006/03
FacultyFaculty of Economics and Business
Institute/dept.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
AbstractIn this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH)models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in larger-dimensional systems, where a full likelihood optimization is often infeasible. The effectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.
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