Likelihood-based estimation of latent generalised ARCH structures

Likelihood-based estimation of latent generalised ARCH structures

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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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Manylion Llyfryddiaeth
Prif Awduron:	Fiorentini, G, Sentana, E, Shephard, N
Awduron Eraill:	Econometric Society
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Blackwell Publishing 2004
Pynciau:	Econometrics Economics

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