Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
Year of publication: |
2014
|
---|---|
Authors: | Kastner, Gregor ; Frühwirth-Schnatter, Sylvia |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 408-423
|
Publisher: |
Elsevier |
Subject: | Markov chain Monte Carlo | Non-centering | Auxiliary mixture sampling | Massively parallel computing | State space model | Exchange rate data |
-
Estimation of stochastic volatility models with heavy tails and serial dependence
Chan, Joshua C. C., (2013)
-
Stochastic conditional duration model with intraday seasonality and limit order book information
Toyabe, Tomoki, (2022)
-
Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha, (2006)
- More ...
-
Efficient bayesian inference for multivariate factor stochastic volatility models
Kastner, Gregor, (2016)
-
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Huber, Florian, (2018)
-
Sparse Bayesian vector autoregressions in huge dimensions
Kastner, Gregor, (2020)
- More ...