Library: | times |
See also: | bigarch |
Quantlet: | bganaabl | |
Description: | auxiliary quantlet that provides the analytical derivatives of the Gaussian log-likelihood of a bivariate BEKK-type volatility model with respect to its parameters |
Usage: | erg=bganaabl(et,theta,os,hndl) | |
Input: | ||
et | T x 2 matrix of a bivariate time series which is stationary and conditionally heteroskedastic | |
theta | contains elements of BEKK parameter matrices in stacked form | |
os | string, determining which operating system is used | |
Output: | ||
erg | n x p matrix of derivatives |