Analysis of High Dimensional Multivariate Stochastic Volatility Models
Year of publication: |
1999-07-01
|
---|---|
Authors: | Shephard, Neil ; Chib, Siddhartha |
Institutions: | Department of Economics, Oxford University |
Subject: | Bayesian inference | Markov Chain Monte Carlo | Marginal likelihood | Metropolis-Hastings algorithm | Particle filter | Simulation | State space model | volatility |
-
Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha, (2006)
-
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho, (2014)
-
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas, (2017)
- More ...
-
Likelihood based inference for diffusion driven models
Shephard, Neil, (2004)
-
Markov Chain Monte Carlo methods for Generalized Stochastic Volatility Models
Shephard, Neil, (1998)
-
Likelihood inference for discretely observed non-linear diffusions
Shephard, Neil, (1998)
- More ...