| 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 | |