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Search: subject:"Simulated EM algorithm"
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Bayesian inference
6
Markov chain Monte Carlo
6
Simulated EM algorithm
4
Dynamic heteroskedasticity
3
Factor models
3
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3
Dynamic Heteroskedasticity
2
simulated EM algorithm
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Estimation theory
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Markov-Kette
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Schätztheorie
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dynamic heteroskedasticity
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factor models
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in mean models
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time varying parameter
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volatility
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Shephard, Neil
4
Fiorentini, Gabriele
3
Sentana, Enrique
3
Anyfantaki, Sofia
2
Demos, Antonis
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Dēmos, Antōnēs A.
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Sentana, Gabriele Fiorentini Enrique
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Department of Economics, Oxford University
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RePEc
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ECONIS (ZBW)
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Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model
Anyfantaki, Sofia
;
Demos, Antonis
-
Department of International and European Economic …
-
2012
estimator via the
simulated
EM
algorithm
or a simulated Bayesian solution in only O(T) computational operations, where T is the …
Persistent link: https://www.econbiz.de/10010859442
Saved in:
2
Estimation and properties of a time-varying EGARCH(1,1) in mean model
Anyfantaki, Sofia
;
Dēmos, Antōnēs A.
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 293-310
Persistent link: https://www.econbiz.de/10011549930
Saved in:
3
Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele
;
Sentana, Enrique
;
Shephard, Neil
-
London School of Economics (LSE)
-
2003
chain Monte Carlo algorithm which allows the calculation of a classical estimator via the
simulated
EM
algorithm
or a …
Persistent link: https://www.econbiz.de/10010884643
Saved in:
4
Likelihood-based estimation of latent generalised ARCH structures
Shephard, Neil
;
Sentana, Gabriele Fiorentini Enrique
-
Department of Economics, Oxford University
-
2002
chain Monte Carlo algorithm which allows the calculation of a classical estimator via the
simulated
EM
algorithm
or a …
Persistent link: https://www.econbiz.de/10010820306
Saved in:
5
Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele
;
Sentana, Enrique
;
Shephard, Neil
-
Economics Group, Nuffield College, University of Oxford
-
2002
chain Monte Carlo algorithm which allows the calculation of a classical estimator via the
simulated
EM
algorithm
or a …
Persistent link: https://www.econbiz.de/10005730265
Saved in:
6
Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele
;
Sentana, Enrique
;
Shephard, Neil
-
2004
chain Monte Carlo algorithm which allows the calculation of a classical estimator via the
simulated
EM
algorithm
or a …
Persistent link: https://www.econbiz.de/10009441544
Saved in:
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