LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES
Year of publication: |
2003-02
|
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Authors: | Fiorentini, Gabriele ; Sentana, Enrique ; Shephard, Neil |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | Bayesian inference | Dynamic Heteroskedasticity | Factor models |
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