Zhang, Xibin; King, Maxwell L. - In: Journal of Empirical Finance 15 (2008) 3, pp. 549-566
This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...