Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 335-360

  Liesenfeld, Roman ^a   Richard, Jean François ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b UNIVERSITY OF PITTSBURGH   (United States)

Author keywords

Dynamic latent variables; Markov chain Monte Carlo; Maximum likelihood; Simulation smoother

Indexed keywords

EID: 33747784985     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713424     Document Type: Article

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