Publication:5475052

{{DISPLAYTITLE:Likelihood-Based Estimation of Latent Generalized ARCH Structures

DOI10.1111/j.1468-0262.2004.00541.xzbMath1091.62071OpenAlexW2106145861MaRDI QIDQ5475052

Gabriele Fiorentini, Neil Shephard, Enrique Sentana

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00541.x

zbMATH Keywords

volatilityfactor modelsdynamic heteroscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

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