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...
| Những tác giả chính: | , , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Wiley
2004
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Search Result 1
Likelihood-based estimation of latent generalised ARCH structures
Được phát hành 2004
Journal article
Search Result 2
Likelihood-based estimation of latent generalised ARCH structures.
Được phát hành 2002
Working paper