Journal article
Likelihood-based estimation of latent generalised ARCH structures
- Abstract:
-
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 a classical estimator via the simulated EM algorithm or a Bayesian solution in O(T) computational operations, where T denotes the sample size. We assess the performance of our proposed algorithm i...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1111/j.1468-0262.2004.00541.x
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Bibliographic Details
- Publisher:
- Blackwell Publishing Publisher's website
- Journal:
- Econometrica Journal website
- Volume:
- 72
- Issue:
- 5
- Pages:
- 1481-1517
- Publication date:
- 2004-09-01
- DOI:
- ISSN:
-
0012-9682
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:baf07513-6707-43ef-9577-7a77509276bd
- Local pid:
- ora:2058
- Deposit date:
- 2008-06-13
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Terms of use
- Copyright holder:
- Econometric Society
- Copyright date:
- 2004
- Notes:
- The full-text of this article is not available in ORA. Citation: Fiorentini, G., Sentana, E. & Shephard, N. (2004). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is available at www.blackwell-synergy.com].
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