models (DCC and FIDCC GARCH), two Kalman filter based approaches and two bivariate stochastic volatility models. A comparison …

stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of …

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility … models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet …