Likelihood‐based estimation of latent generalized ARCH structures
G Fiorentini, E Sentana, N Shephard - Econometrica, 2004 - Wiley Online Library
GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been …
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GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been …