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Multivariate (G)ARCH GED
Hi,I would like to estimate an multivariate (G)ARCH model by maximum likelihood. Instead of using the normal distribution I would like to use a multivariate version of the generalized error distribtution (the univariate one was used by Nelson in his EGARCH approach). Does anyone know where I can find sth. about the (multivariate) ged-distribution?thx andbest regards,Magriz