Estimating stochastic volatility models using integrated nested Laplace approximations
Year of publication: |
2011
|
---|---|
Authors: | Martino, Sara ; Aas, Kjersti ; Lindqvist, Ola ; Neef, Linda ; Rue, Håvard |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 17.2011, 7, p. 487-503
|
Publisher: |
Taylor & Francis Journals |
Subject: | approximate Bayesian inference | Laplace approximation | latent Gaussian models | stochastic volatility model |
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