Stochastic volatility in mean: efficient analysis by a generalized mixture sampler

DOI10.1016/J.JECONOM.2025.105949MaRDI QIDQ7296541zbMATH OpenFDO

Authors Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori

Publication date 14 July 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105949

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• Bayesian methods in economics and finance: a unified survey and taxonomy

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