Bayesian inference for non-Gaussian Ornstein-Uhlenbeck stochastic volatility processes

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 66, Issue 2, 2004, Pages 369-393

  Roberts, Gareth O ^a,c   Papaspiliopoulos, Omiros ^a   Dellaportas, Petros ^b  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Data augmentation; L vy processes; Marked point processes; Markov chain Monte Carlo methods; Non centred parameterizations; Stochastic volatility

Indexed keywords

EID: 2442549612     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1369-7412.2004.05139.x     Document Type: Article

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