Likelihood-based estimation of latent generalised ARCH structures.

Likelihood-based estimation of latent generalised ARCH structures.

Pokaži ostale verzije (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...

Bibliografski detalji
Glavni autori:	Fiorentini, G, Sentana, E, Shephard, N
Format:	Journal article
Jezik:	English
Izdano:	Wiley 2004

Slični predmeti

Likelihood-based estimation of latent generalised ARCH structures
od: Fiorentini, G, i dr.
Izdano: (2004)

Likelihood-based estimation of latent generalised ARCH structures.
od: Fiorentini, G, i dr.
Izdano: (2002)

Stochastic volatility: likelihood inference and comparison with ARCH models.
od: Kim, S, i dr.
Izdano: (1994)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
od: Kim, S, i dr.
Izdano: (2005)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
od: Kim, S, i dr.
Izdano: (2003)

Generalised empirical likelihood-based kernel density estimation
od: Oryshchenko, V
Izdano: (2013)

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

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

Particle methods for maximum likelihood estimation in latent variable models
od: Johansen, A, i dr.
Izdano: (2008)

Robust DFT‐based generalised likelihood ratio test for underwater tone detection
od: Yi‐lin Wang, i dr.
Izdano: (2017-12-01)

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
od: Chib, S, i dr.
Izdano: (2002)

On Bayesian estimation of a latent trait model defined by a rank-based likelihood
od: Daniel Biftu Bekalo, i dr.
Izdano: (2024-11-01)

Maximum likelihood estimation of the Latent Class Model through model boundary decomposition
od: Allman, E, i dr.
Izdano: (2019)

Likelihood based inference for diffusion driven models.
od: Chib, S, i dr.
Izdano: (2004)

Simulation-Based Likelihood Inference for Limited Dependent Processes.
od: Manrique, A, i dr.
Izdano: (1998)

Simulation-based likelihood inference for limited dependent processes
od: Manrique, A, i dr.
Izdano: (1998)

Likelihood Evaluation for Dynamic Latent Variables Models.
od: Hendry, D, i dr.
Izdano: (1992)

Maximum likelihood parameter estimation for latent variable models using sequential Monte Carlo
od: Johansen, A, i dr.
Izdano: (2006)

A protocol for modelling generalised biological responses using latent variables in structural equation models
od: James Grace, i dr.
Izdano: (2021-07-01)

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

Likelihood Inference for Discretely Observed Nonlinear Diffusions.
od: Elerain, O, i dr.
Izdano: (2001)

Likelihood Analysis of Non-Gaussian Measurement Time Series.
od: Shephard, N, i dr.
Izdano: (2005)

Likelihood Analysis of Non-Gaussian Parameter-Driven Models.
od: Shephard, N, i dr.
Izdano: (1995)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
od: Flury, T, i dr.
Izdano: (2008)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
od: Flury, T, i dr.
Izdano: (2011)

Multivariate Rotated ARCH models.
od: Shephard, N, i dr.
Izdano: (2012)

Multivariate rotated ARCH models
od: Noureldin, D, i dr.
Izdano: (2012)

Maximum likelihood estimation and quasi-maximum likelihood estimation situations /
od: Nur Syazana Ramlee, 1989, i dr.
Izdano: (2011)

Likelihood inference for Discretely Observed Non-linear Diffusions.
od: Elerian, O, i dr.
Izdano: (1998)

Likelihood inference for discretely observed non-linear diffusions
od: Elerian, O, i dr.
Izdano: (2001)

Likelihood inference for discretely observed non-linear diffusions.
od: Elerian, O, i dr.
Izdano: (2001)

Nuisance parameters, composite likelihoods and a panel of GARCH models
od: Shephard, N, i dr.
Izdano: (2009)

Stochastic volatility with leverage: fast likelihood inference.
od: Omori, Y, i dr.
Izdano: (2004)

Calculation and error bound of Min-approximated bitwise log-likelihood ratios of generalised M-ary PAM
od: Sung-Joon Park, i dr.
Izdano: (2019-11-01)

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

Likelihood analysis of a first order autoregressive model with exponential innovations
od: Nielsen, B, i dr.
Izdano: (2003)

Likelihood analysis of a first order autoregressive model with exponential innovations
od: Shephard, N, i dr.
Izdano: (2003)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
od: Omori, Y, i dr.
Izdano: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
od: Omori, Y, i dr.
Izdano: (2007)

The Density of the Maximum Likelihood Estimator.
od: Hillier, G, i dr.
Izdano: (1999)