Šimandl, Miroslav; Soukup, Tomáš - In: Bulletin of the Czech Econometric Society 8 (2001)
A new technique for nonlinear state and parameter estimation of the discrete time stochastic volatility models in the state space form is developed. The Gibbs sampler is used to construct a Markov-chain simulation tool that reflects both inherent model variability and parameter uncertainty. The...
