Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340): Difference between revisions

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+Comparison of MCMC methods for estimating stochastic volatility models
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+Comparison of MCMC Methods for Estimating GARCH Models
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+Multivariate Stochastic Volatility: A Review
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+Kurtosis of GARCH and stochastic volatility models with non-normal innovations
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+Bayesian inference on GARCH models using the Gibbs sampler
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+Marginal Likelihood from the Gibbs Output
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+Bayes inference in regression models with ARMA\((p,q)\) errors
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+Marginal Likelihood From the Metropolis–Hastings Output
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+Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+The simulation smoother for time series models
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+Empirical modeling of exchange rate dynamics
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+Portfolio Analysis in a Stable Paretian Market
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+Getting It Right
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Non-Gaussian State-Space Modeling of Nonstationary Time Series
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+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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+Q4678104
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+Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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+Likelihood analysis of non-Gaussian measurement time series
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+Markov chains for exploring posterior distributions. (With discussion)
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+A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard &amp; Pitt (1997)
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