Search Results - subject:"Dynamic heteroskedasticity"

Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

Anyfantaki, Sofia; Demos, Antonis - Department of International and European Economic … - 2012

Time-varying GARCH-M models are commonly employed in econometrics and financial economics. Yet the recursive nature of the conditional variance makes exact likelihood analysis of these models computationally infeasible. This paper outlines the issues and suggests to employ a Markov chain Monte...

Persistent link: https://www.econbiz.de/10010859442

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

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES

Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

Persistent link: https://www.econbiz.de/10005212560

Likelihood-based estimation of latent generalised ARCH structures

Shephard, Neil; Sentana, Gabriele Fiorentini Enrique - Department of Economics, Oxford University - 2002

Persistent link: https://www.econbiz.de/10010820306

Likelihood-based estimation of latent generalised ARCH structures

Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002

Persistent link: https://www.econbiz.de/10005730265