Likelihood-based estimation of latent generalised ARCH structures.
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...
| Asıl Yazarlar: | , , |
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| Materyal Türü: | Journal article |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Wiley
2004
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Search Result 1
Likelihood-based estimation of latent generalised ARCH structures
Baskı/Yayın Bilgisi 2004
Journal article
Search Result 2
Likelihood-based estimation of latent generalised ARCH structures.
Baskı/Yayın Bilgisi 2002
Working paper