Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
DOI10.1515/snde-2014-0043zbMath1506.91003OpenAlexW3123215024MaRDI QIDQ2687889
Publication date: 7 March 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2014-0043
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Economic time series analysis (91B84) Stochastic models in economics (91B70) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)
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