Likelihood-based estimation of latent generalized ARCH structures

Econometrica

Volumn 72, Issue 5, 2004, Pages 1481-1517

  Fiorentini, Gabriele ^a   Sentana, Enrique ^b   Shephard, Neil ^c  

^a UNIVERSITY OF FLORENCE   (Italy)

^b CEMFI   (Spain)

^c NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Bayesian inference; Dynamic heteroskedasticity; Factor models; Markov chain Monte Carlo; Simulated EM algorithm; Volatility

Indexed keywords

BAYESIAN INFERENCE; DYNAMIC HETEROSKEDASTICITY; FACTOR MODELS; MARKOV CHAIN MONTE CARLO; SIMULATED EM ALGORITHM; VOLATILITY;

ALGORITHMS; APPROXIMATION THEORY; ECONOMIC AND SOCIAL EFFECTS; FINANCE; MONTE CARLO METHODS; SAMPLING;

ARCHES;

EID: 4444323292     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00541.x     Document Type: Article

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