Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; … - Center for International Research on the Japanese … - 2004
Kim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications. Despite this, their basic method has...