; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of …-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and …

This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It … application based on a stochastic volatility model with stable errors highlights the flexibility of the approach. …

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article … estimating stochastic volatility model parameters through Bayesian methods. We simulate a massive number of parallel chains to …