[R] estimators based on Truncated likelihood
chalabi at phys.ethz.ch
Wed Feb 10 16:49:17 CET 2010
>>>> "HYC" == helen.yu at utoronto.ca
>>>> on Tue, 09 Feb 2010 22:07:27 -0500
HYC> Dear Sir/Madam,
HYC> May I know if there is any function that estimates the ARCH
HYC> or GARCH
HYC> models based on truncated likelihood?
TLE has been used in different areas and is well-known in the
community. I am presenting work that extents the TLE with an application
in GARCH modeling in Singapore next week. The working paper should be
available just after the conference.
Swiss Federal Institute of Technology
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