Simulation-based sequential analysis of Markov switching stochastic volatility models

Computational Statistics and Data Analysis

Volumn 51, Issue 9, 2007, Pages 4526-4542

  Carvalho, Carlos M ^a,b   Lopes, Hedibert F ^a,b  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bayes factor; Bayesian time series; Markov chain Monte Carlo; Particle filters; Sequential analysis; Stochastic volatility models

Indexed keywords

ALGORITHMS; MARKOV PROCESSES; MONTE CARLO METHODS; PARAMETER ESTIMATION; TIME SERIES ANALYSIS;

MARKOV SWITCHING; PARTICLE FILTERS; STOCK INDEX;

STOCHASTIC MODELS;

EID: 34147112845     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.019     Document Type: Article

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