Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with … leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using … simulated data and a real data set. We compare the proposed specifications against several competing stochastic volatility …

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …