Markov chain Monte Carlo methods for stochastic volatility models.

DOI10.1016/S0304-4076(01)00137-3zbMath1099.62539MaRDI QIDQ1867723

Federico Nardari, Siddhartha Chib, Neil Shephard

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityMarkov chain Monte CarloBayes factormarginal likelihoodparticle filtersmixture modelssimulation-based inference

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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