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• (author = "Sentana, Enrique ")
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Likelihood-based estimation of latent generalised ARCH structures

Author(s) : Fiorentini, Gabriele , Sentana, Enrique , Shephard, Neil
Description : 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 ...
Repository : LSE Research Online , View repository documents
Language(s) : Undetermined
Subject(s) : HG Finance , HB Economic Theory
Publisher(s) : Financial Markets Group, London School of Economics and Political Science
Contributor(s) :
Source(s) :
Publication Date(s) : 2003-06-01