Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28
We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...