used as an importance density for importance sampling (IS) or as a proposal density for Markov chain Monte Carlo (MCMC …(θ,α|y) of p(θ,α|y) for two stochastic volatility models, two stochastic count models and a stochastic duration model. I … posterior inference, using IS and MCMC. Compared with other simulation smoothing methods, the HESSIAN method is highly …

In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically …. Its novelty is in modeling the joint, conditional, return-volatility, distribution with a infinite mixture of bivariate …

This paper studies Heath-Jarrow-Morton-type models with regime-switching stochastic volatility. In this setting the … forward rate volatility is allowed to depend on the current forward rate curve as well as on a continuous time Markov chain y … conditions on the volatility guaranteeing the representation of the forward rate process by a finite-dimensional Markovian state …