Jacquier, Eric; Polson, Nicholas G; Rossi, Peter E - In: Journal of Business & Economic Statistics 12 (1994) 4, pp. 371-89
New techniques for the analysis of stochastic volatility models are developed. A Metropolis algorithm is used to construct a Markov Chain simulation tool. The exact solution to the filtering/smoothing problem of inferring about the unobserved variance states is a by-product of the authors'...