Analysis of High Dimensional Multivariate Stochastic Volatility Models
Year of publication: |
1999-07-01
|
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Authors: | Shephard, Neil ; Chib, Siddhartha |
Institutions: | Department of Economics, Oxford University |
Subject: | Bayesian inference | Markov Chain Monte Carlo | Marginal likelihood | Metropolis-Hastings algorithm | Particle filter | Simulation | State space model | volatility |
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