Likelihood-Based Estimation of Latent Generalized ARCH Structures
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Publication:5475052
DOI10.1111/j.1468-0262.2004.00541.xzbMath1091.62071MaRDI 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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91B84: Economic time series analysis
65C40: Numerical analysis or methods applied to Markov chains
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