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      Likelihood-Based Estimation of Latent Generalized ARCH Structures

      Author(s): , ,
      Publication date Created:
      Publication date (Print):
      Journal: Econometrica
      Publisher: Wiley

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          Generalized autoregressive conditional heteroskedasticity

          Tim Bollerslev (1986)
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            Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

            Sangjoon Kim, Neil Shepherd, Siddhartha Chib (1998)
            Article 0 comments Cited 210 times – based on 0 reviews     Review now
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              10.1007/978-1-4899-4485-6

              (2000)
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                Author and article information

                Journal
                Title: Econometrica
                Abbreviated Title: Econometrica
                Publisher: Wiley
                ISSN (Print): 0012-9682
                ISSN (Electronic): 1468-0262
                Publication date Created: September 2004
                Publication date (Print): September 2004
                Volume: 72
                Issue: 5
                Pages: 1481-1517
                Article
                DOI: 10.1111/j.1468-0262.2004.00541.x
                SO-VID: a99cdb5e-4410-4822-a6d1-9cb97abf515d
                Copyright © © 2004
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                http://doi.wiley.com/10.1002/tdm_license_1.1

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