Stochastic volatility with leverage: fast likelihood inference
Year of publication: |
2004-08-22
|
---|---|
Authors: | Omori, Yasuhiro ; Chib, Siddhartha ; Shephard, Neil ; Nakajima, Jouchi |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Leverage effect | Markov chain Monte Carlo | Mixture sampler | Stochastic volatility | Stock returns |
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