Liesenfeld, Roman; Richard, Jean-Francois - In: Econometric Reviews 25 (2006) 2-3, pp. 335-360
In this paper, efficient importance sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate stochastic volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...