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Likelihood-based estimation of latent generalised ARCH
Shephard, Neil; Sentana, Enrique - Department of Economics, Oxford University - 2003
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...
Persistent link: https://www.econbiz.de/10010661356
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - London School of Economics (LSE) - 2003
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...
Persistent link: https://www.econbiz.de/10010884643
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - 2004
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...
Persistent link: https://www.econbiz.de/10009441544
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Finance Research Centre, Oxford University - 2004
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...
Persistent link: https://www.econbiz.de/10005509811
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Likelihood-Based Estimation of Latent Generalized ARCH Structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - In: Econometrica 72 (2004) 5, pp. 1481-1517
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...
Persistent link: https://www.econbiz.de/10005231455
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LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003
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...
Persistent link: https://www.econbiz.de/10005212560
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Likelihood-based estimation of latent generalised ARCH structures
Shephard, Neil; Fiorentini, Gabriele; Sentana, Enrique - Financial Markets Group - 2003
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...
Persistent link: https://www.econbiz.de/10005073746
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002
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...
Persistent link: https://www.econbiz.de/10005730265
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele (contributor);  … - 2003 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001739262
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil G. - 2003
Persistent link: https://www.econbiz.de/10001786004