Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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)
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
erg n x p matrix of derivatives

Author: H. Herwartz, 20020111
(C) MD*TECH Method and Data Technologies, 05.02.2006