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Analysis of High Dimensional Multivariate Stochastic Volatility Models
Shephard, Neil
;
Chib, Siddhartha
-
Department of Economics, Oxford University
-
1999
determining the number of factors. For this purpose we use MCMC methods to find the
marginal
likelihood
and associated Bayes …
Persistent link: https://www.econbiz.de/10010605134
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2
Markov Chain Monte Carlo methods for Generalized Stochastic Volatility Models
Shephard, Neil
;
Chib, Siddhartha
-
Department of Economics, Oxford University
-
1998
are methods for constructing diagnostic measures and the model
marginal
likelihood
. The techniques are applied in detail …
Persistent link: https://www.econbiz.de/10010605094
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