Likelihood-based estimation of latent generalised ARCH structures.

Likelihood-based estimation of latent generalised ARCH structures.

Pokaż inne wersje (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...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Fiorentini, G, Sentana, E, Shephard, N
Format:	Journal article
Język:	English
Wydane:	Wiley 2004

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