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Fully Bayesian Analysis of Switching Gaussian State Space Models
Frühwirth-Schnatter, Sylvia - In: Annals of the Institute of Statistical Mathematics 53 (2001) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10005184628
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Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Annals of the Institute of Statistical Mathematics 61 (2009) 1, pp. 159-179
Persistent link: https://www.econbiz.de/10005616142