A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
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Cited in
(8)- Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Prioritizing of volatility models: a computational analysis using data envelopment analysis
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
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- Comparing stochastic volatility models through Monte Carlo simulations
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