I have sent you an email with the article. there is nothing for BHHHH. BHHH can be found at any advanced textbook. David Hendry "Dynamic Econometrics" OUP, Apenndix 5, James, D. Hamilton "Time series analysis" 1994 also have some introduction to numerical optimization. Nelles "nonlinear system identification" Springer 2001 is also a good source of such optimization techniques.

This article is useful for any one that is really serious with their ACD model(Maybe economists do not think so , but econometricians do). Good luck.

[此贴子已经被作者于2006-3-18 20:58:15编辑过]

Thanks!