Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2006
factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … is scalable in terms of series and factors and simulation-efficient. Methods for estimating the log-likelihood function …. (2006). 'Analysis of high dimensional multivariate stochastic volatility models', Journal of Econometrics, 134(2), 341 …