Likelihood-based estimation of latent generalised ARCH structures.

Likelihood-based estimation of latent generalised ARCH structures.

Бусад хувилбаруудыг харуулах (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...

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Номзүйн дэлгэрэнгүй
Үндсэн зохиолчид:	Fiorentini, G, Sentana, E, Shephard, N
Формат:	Journal article
Хэл сонгох:	English
Хэвлэсэн:	Wiley 2004

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