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Likelihood-based estimation of latent generalised ARCH structures

Abstract:

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 calculation of a classical estimator via the simulated EM algorithm or a Bayesian solution in O(T) computational operations, where T denotes the sample size. We assess the performance of our proposed algorithm i...

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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Florence
Department:
Department of Statistics
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Institution:
CEMFI (Centro de Estudios Monetarios y Financieros), Madrid
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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
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Funding agency for:
Gabriele Fiorentini
Publisher:
Blackwell Publishing Publisher's website
Journal:
Econometrica Journal website
Volume:
72
Issue:
5
Pages:
1481-1517
Publication date:
2004-09-05
DOI:
ISSN:
0012-9682
URN:
uuid:baf07513-6707-43ef-9577-7a77509276bd
Local pid:
ora:2058

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