Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
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Publication:5485108
DOI10.1080/07474930600713424zbMath1113.62130OpenAlexW2057416092MaRDI QIDQ5485108
Jean-Francois Richard, Roman Liesenfeld
Publication date: 28 August 2006
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.econ.pitt.edu/fantin/papers/class-anal_stochastic-volat.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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Cites Work
- Estimating time series models for count data using efficient importance sampling
- Markov chains for exploring posterior distributions. (With discussion)
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Multivariate Stochastic Variance Models
- Likelihood analysis of non-Gaussian measurement time series
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Monte Carlo EM Estimation for Time Series Models Involving Counts
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