Markov chain Monte Carlo methods for stochastic volatility models
Year of publication: |
2002
|
---|---|
Authors: | Chib, Siddhartha ; Nardari, Federico ; Shephard, Neil |
Subject: | Econometrics | Bayes factor | Markov chain Monte Carlo | marginal likelihood | mixture models | particle filters | simulation-based inference | stochastic volatility |
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