Block sampler and posterior mode estimation for asymmetric stochastic volatility models
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Publication:1023620
DOI10.1016/j.csda.2007.09.001zbMath1452.62783OpenAlexW2078421912MaRDI QIDQ1023620
Yasuhiro Omori, Toshiaki Watanabe
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.001
Bayesian analysisMarkov chain Monte CarloKalman filterMetropolis-Hastings algorithmsimulation smootherasymmetric stochastic volatility modeldisturbance smoother
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Uses Software
Cites Work
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