Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
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- Algorithm 668
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- scientific article; zbMATH DE number 699423 (Why is no real title available?)
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Cited in
(6)- A new filtering inference procedure for a GED state-space volatility model
- Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”
- Stochastic variational inference for GARCH models
- Multivariate stochastic volatility with co-heteroscedasticity
- Exact likelihood for inverse gamma stochastic volatility models
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
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