Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage (Q3297248)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
scientific article

    Statements

    Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage (English)
    0 references
    0 references
    0 references
    3 July 2020
    0 references
    ancillarity-sufficiency interweaving strategy (ASIS)
    0 references
    auxiliary mixture sampling
    0 references
    Bayesian inference
    0 references
    Markov chain Monte Carlo (MCMC)
    0 references
    state-space model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers