[R] estimators based on Truncated likelihood

[Yohan Chalabi]

>>>> "HYC" == helen.yu at utoronto.ca
>>>> on Tue, 09 Feb 2010 22:07:27 -0500

   HYC> Dear Sir/Madam,
   HYC>
   HYC> May I know if there is any function that estimates the ARCH
   HYC> or GARCH
   HYC> models based on truncated likelihood?
   HYC>
   HYC> Thanks,
   HYC> Helen


Hi Helen,

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.

Regards,
Yohan

-- 
PhD candidate
Swiss Federal Institute of Technology
Zurich

www.ethz.ch