Simulation-based sequential analysis of Markov switching stochastic volatility models (Q1020116)
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scientific article; zbMATH DE number 5559568
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| English | Simulation-based sequential analysis of Markov switching stochastic volatility models |
scientific article; zbMATH DE number 5559568 |
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Simulation-based sequential analysis of Markov switching stochastic volatility models (English)
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29 May 2009
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Bayesian time series
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Bayes factor
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Markov chain Monte Carlo
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particle filters
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sequential analysis
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stochastic volatility models
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0.89659894
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0.88855183
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0.88664156
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0.8838886
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0.8805742
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0.87711763
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0.87620604
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