Bayesian analysis of stochastic volatility models

Journal of Business and Economic Statistics

Volumn 12, Issue 4, 1994, Pages 371-389

  Jacouier, Eric ^a   Polson, Nicholas G ^b   Rossl, Peter E ^b  

^a The Samuel Curtis Johnson Graduate School of Management   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Bayesian inference; Markov chain Monte Carlo; Method of moments; Nonlinear filtering; Quasi maximum likelihood; Stochastic volatility

Indexed keywords

EID: 84952181953     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1994.10524553     Document Type: Article

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