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Search: subject:"simulated EM algorithm"
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Bayesian inference
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Markov chain Monte Carlo
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Factor models
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Simulated EM algorithm
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Volatility
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Shephard, Neil
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Fiorentini, Gabriele
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Sentana, Enrique
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Anyfantaki, Sofia
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Sentana, Gabriele Fiorentini Enrique
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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
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:
3
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:
4
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:
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