A Bayesian Analysis of Unobserved Component Models using Ox

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article

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Authors:	Bos, Charles S.
Institutions:	Tinbergen Institute
Subject:	Stochastic volatility \| estimation \| methodology

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 11-048/4
Classification:	C13 - Estimation ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008867496