Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

DOI10.1080/07474930600713424zbMath1113.62130MaRDI 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

zbMATH Keywords

Markov chain Monte Carlo; maximum likelihood; simulation smoother; dynamic latent variables

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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