Pitt, Michael; Malik, Sheheryar; Doucet, Arnaud - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 527-552
Discrete-time stochastic volatility (SV) models have generated a considerable literature in financial econometrics. However, carrying out inference for these models is a difficult task and often relies on carefully customized Markov chain Monte Carlo techniques. Our contribution here is twofold....