volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …