Likelihood-based estimation of latent generalised ARCH structures /
Fiorentini, Gabriele.
Sentana, Enrique.
Shephard, Neil.
London School of Economics and Political Science.Financial Markets Group.
London : London School of Economics and Political Science, Financial Markets Group,
2003.
"June 2003."
Includes bibliographical references.
Econometrics.
Heteroscedasticity.
Markov processes.