Kastner, Gregor; Frühwirth-Schnatter, Sylvia - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 408-423
Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the volatility of volatility parameter in the latent...