Likelihood-based estimation of latent generalised ARCH structures.

Likelihood-based estimation of latent generalised ARCH structures.

Veure altres versions (2)

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of...

Descripció completa

Dades bibliogràfiques
Autors principals:	Fiorentini, G, Sentana, E, Shephard, N
Format:	Journal article
Idioma:	English
Publicat:	Wiley 2004

Ítems similars

Likelihood-based estimation of latent generalised ARCH structures
per: Fiorentini, G, et al.
Publicat: (2004)

Likelihood-based estimation of latent generalised ARCH structures.
per: Fiorentini, G, et al.
Publicat: (2002)

Stochastic volatility: likelihood inference and comparison with ARCH models.
per: Kim, S, et al.
Publicat: (1994)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
per: Kim, S, et al.
Publicat: (2005)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
per: Kim, S, et al.
Publicat: (2003)

Generalised empirical likelihood-based kernel density estimation
per: Oryshchenko, V
Publicat: (2013)

Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components.
per: Shephard, N
Publicat: (1993)

Maximum likelihood estimation of regression models with stochastic trend components
per: Shephard, N
Publicat: (1993)

Particle methods for maximum likelihood estimation in latent variable models
per: Johansen, A, et al.
Publicat: (2008)

Robust DFT‐based generalised likelihood ratio test for underwater tone detection
per: Yi‐lin Wang, et al.
Publicat: (2017-12-01)

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
per: Chib, S, et al.
Publicat: (2002)

On Bayesian estimation of a latent trait model defined by a rank-based likelihood
per: Daniel Biftu Bekalo, et al.
Publicat: (2024-11-01)

Maximum likelihood estimation of the Latent Class Model through model boundary decomposition
per: Allman, E, et al.
Publicat: (2019)

Likelihood based inference for diffusion driven models.
per: Chib, S, et al.
Publicat: (2004)

Simulation-Based Likelihood Inference for Limited Dependent Processes.
per: Manrique, A, et al.
Publicat: (1998)

Simulation-based likelihood inference for limited dependent processes
per: Manrique, A, et al.
Publicat: (1998)

Likelihood Evaluation for Dynamic Latent Variables Models.
per: Hendry, D, et al.
Publicat: (1992)

Maximum likelihood parameter estimation for latent variable models using sequential Monte Carlo
per: Johansen, A, et al.
Publicat: (2006)

A protocol for modelling generalised biological responses using latent variables in structural equation models
per: James Grace, et al.
Publicat: (2021-07-01)

Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes".
per: Chib, S, et al.
Publicat: (2001)

Likelihood Inference for Discretely Observed Nonlinear Diffusions.
per: Elerain, O, et al.
Publicat: (2001)

Likelihood Analysis of Non-Gaussian Measurement Time Series.
per: Shephard, N, et al.
Publicat: (2005)

Likelihood Analysis of Non-Gaussian Parameter-Driven Models.
per: Shephard, N, et al.
Publicat: (1995)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
per: Flury, T, et al.
Publicat: (2008)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
per: Flury, T, et al.
Publicat: (2011)

Multivariate Rotated ARCH models.
per: Shephard, N, et al.
Publicat: (2012)

Multivariate rotated ARCH models
per: Noureldin, D, et al.
Publicat: (2012)

Maximum likelihood estimation and quasi-maximum likelihood estimation situations /
per: Nur Syazana Ramlee, 1989, et al.
Publicat: (2011)

Likelihood inference for Discretely Observed Non-linear Diffusions.
per: Elerian, O, et al.
Publicat: (1998)

Likelihood inference for discretely observed non-linear diffusions
per: Elerian, O, et al.
Publicat: (2001)

Likelihood inference for discretely observed non-linear diffusions.
per: Elerian, O, et al.
Publicat: (2001)

Nuisance parameters, composite likelihoods and a panel of GARCH models
per: Shephard, N, et al.
Publicat: (2009)

Stochastic volatility with leverage: fast likelihood inference.
per: Omori, Y, et al.
Publicat: (2004)

The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model.
per: Shephard, N
Publicat: (1997)

Likelihood analysis of a first order autoregressive model with exponential innovations
per: Nielsen, B, et al.
Publicat: (2003)

Likelihood analysis of a first order autoregressive model with exponential innovations
per: Shephard, N, et al.
Publicat: (2003)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
per: Omori, Y, et al.
Publicat: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
per: Omori, Y, et al.
Publicat: (2007)

The Density of the Maximum Likelihood Estimator.
per: Hillier, G, et al.
Publicat: (1999)

Nuisance parameters, composite likelihoods and a panel of GARCH models.
per: Pakel, C, et al.
Publicat: (2009)