Estimating stochastic volatility models using integrated nested laplace approximations

European Journal of Finance

Volumn 17, Issue 7, 2011, Pages 487-503

  Martino, Sara ^a   Aas, Kjersti ^b   Lindqvist, Ola ^b   Neef, Linda R ^b   Rue, Håvard ^a  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^b NORWEGIAN COMPUTING CENTER   (Norway)

Author keywords

Approximate bayesian inference; Laplace approximation; Latent gaussian models; Stochastic volatility model

Indexed keywords

EID: 79960968913     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/1351847X.2010.495475     Document Type: Article

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