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...

Generalizamos el algoritmo EM espectral para modelos factoriales dinámicos de Fiorentini, Galesi y Sentana (2014) a modelos bifactoriales con factores tanto globales como regionales. Aprovechamos la raleza de las matrices de coefi cientes de manera que se puedan estimar dichos modelos por...

Realizamos dos contribuciones complementarias para estimar eficientemente modelos factoriales dinámicos: un algoritmo EM espectral y un procedimiento de inferencia indirecta iterada rapidísimo para modelos ARMA sin pérdida de eficiencia asintótica para cualquier número finito de...

Documentamos una subida y una caída del tipo de interés natural (r*) para varias economías avanzadas, que comienza a aumentar en la década de los sesenta y alcanza su punto álgido a finales de los años ochenta. Llegamos a esta conclusión después de demostrar que el modelo de Laubach y...

When the coefficients of a Tobit model are estimated by maximum likelihood their covariance matrix is typically, even if not necessarily, associated with the algorithm employed to maximize the likelihood. Covariance estimators used in practice are derived by: (1) the Hessian (observed...

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

We show in this paper that the treatment of conditional heteroskedasticity inside nonlinear systems of simultaneous equations is a sufficiently manageable matter for some types of multivariate ARCH error structures. Reparameterization makes it possible to estimate the model by means of the...

With most of the available software packages, estimates of the parameter covariance matrix in a GARCH model are usually obtained from the outer products of the first derivatives of the log-likelihoods (BHHH estimator). However, other estimators could be defined and used, analogous to the...

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The...

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....