Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper, we review the most common specifications of discrete-time stochas- tic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap- proach which is easily implemented in empirical...