Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold....

We discuss a new class of spatially varying, simultaneous autoregressive (SVSAR) models motivated by interests in flexible, non-stationary spatial modelling scalable to higher dimensions. SVSAR models are hierarchical Markov random fields extending traditional SAR models. We develop Bayesian...