A Note on Efficient Fitting of Stochastic Volatility Models
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Cites work
- An adaptive Metropolis algorithm
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Filtering via Simulation: Auxiliary Particle Filters
- scientific article; zbMATH DE number 3442988 (Why is no real title available?)
- scientific article; zbMATH DE number 5243763 (Why is no real title available?)
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Multivariate Stochastic Volatility: A Review
- Nonlinear time series. Theory, methods and applications with R examples
- On Gibbs sampling for state space models
- Particle Gibbs with ancestor sampling
- Particle Markov Chain Monte Carlo Methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Time series analysis and its applications. With R examples
- Uniform ergodicity of the particle Gibbs sampler
Cited in
(6)- Efficient estimation of drift parameters in stochastic volatility models
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- State-space stochastic volatility models: A review of estimation algorithms
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- Multivariate stochastic volatility models based on generalized Fisher transformation
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
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