An effcient exact Bayesian method for state space models with stochastic volatility
Year of publication: |
2021
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Authors: | Huang, Yu-Fan |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 2, Art.-No. 20180098, p. 1-10
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Subject: | Bayesian MCMC | state space | stochastic volatility | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Zustandsraummodell | State space model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
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