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Estimation and Properties of a Time-Varying GQARCH(1,1)-M Model
Time-varying GARCH-M models are commonly used in econometrics and financial economics. Yet the recursive nature of the conditional variance makes exact likelihood analysis of these models computationally infeasible. This paper outlines the issues and suggests to employ a Markov chain Monte Carlo alg...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Limited
2011-01-01
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| Colecção: | Journal of Probability and Statistics |
| Acesso em linha: | http://dx.doi.org/10.1155/2011/718647 |
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