Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha - In: Review of Economic Studies 65 (1998) 3, pp. 361-93
In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating...