Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper, we review the most common specifications of discrete-time stochasticvolatility (SV) models and illustrate the major principles of corresponding MarkovChain Monte Carlo (MCMC) based statistical inference. We provide a hands-on approachwhich is easily implemented in empirical...