Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump … foreign exchange
rates.
Keywords: Stochastic Volatility, Markov Chain Monte Carlo, Metropolis-Hastings al-
gorithm, Jump …(·) is the invariant density for the kernel p(·), i.e., f(·) = pi∗(·).
An important MCMC technique is the Metropolis-Hastings …