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References
2. Econometrics
Luc Bauwens, Jeroen V.K. Rombouts
Subsections
2.1 Introduction
2.2 Limited Dependent Variable Models
2.2.1 Multinomial Multiperiod Probit
2.2.1.1 Definition
2.2.1.2 Estimation
2.2.1.3 Applications
2.2.2 Multivariate Probit
2.2.3 Mixed Multinomial Logit
2.2.3.1 Definition
2.2.3.2 Estimation
2.2.3.3 Application
2.3 Stochastic Volatility and Duration Models
2.3.1 Canonical SV Model
2.3.2 Estimation
2.3.2.1 EIS ([36])
2.3.2.2 MCML ([20])
2.3.2.3 MCMC ([35])
2.3.3 Application
2.3.4 Extensions of the Canonical SV Model
2.3.5 Stochastic Duration and Intensity Models
2.4 Finite Mixture Models
2.4.1 Inference and Identification
2.4.2 Examples
2.4.2.1 Markov Switching Autoregressive Model
2.4.2.2 Clustering of Many GARCH Models
