Likelihood-Based Estimation of Latent Generalized ARCH Structures

DOI10.1111/J.1468-0262.2004.00541.XMaRDI QIDQ5475052zbMATH OpenOpenAlexFDO

Authors Gabriele Fiorentini, Enrique Sentana, Neil Shephard

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

dynamic heteroscedasticityfactor modelsvolatility

Mathematics Subject Classification ID

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

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Cited in

(28)

• On the univariate representation of BEKK models with common factors
• The asymptotic properties of GMM and indirect inference under second-order identification
• A spectral EM algorithm for dynamic factor models
• Inference in second-order identified models
• Bootstrapping the GMM overidentification test under first-order underidentification
• Factor representing portfolios in large asset markets
• Generalized linear factor models: a new local EM estimation algorithm
• Bayesian consistency for stationary models
• A Bayesian simulation approach to inference on a multi-state latent factor intensity model
• Weighted scatter estimation method of the GO-GARCH models
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• The Wishart autoregressive process of multivariate stochastic volatility
• Bayesian unit root testing in unobserved-ARCH models
• Moment conditions and Bayesian non-parametrics
• A linear varying coefficient ARCH-M model with a latent variable
• On standard inference for GMM with local identification failure of known forms
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Factor Stochastic Volatility in Mean Models: A GMM Approach
• Efficiency bounds for semiparametric models with singular score functions
• Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators
• Estimation and properties of a time-varying EGARCH(1,1) in mean model
• Estimation and properties of a time-varying GQARCH(1,1)-M model
• Efficiency in large dynamic panel models with common factors
• Fitting Vast Dimensional Time-Varying Covariance Models
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Particle filters for continuous likelihood evaluation and maximisation
• Efficient MCMC sampling in dynamic mixture models
• Unobserved component models with asymmetric conditional variances

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