Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of high-dimensional interdependent integrals. It can be used to carry out ML-estimation of SV models as we...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2006
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474930600713424