Jensen, Mark J. - In: Journal of Time Series Analysis 25 (2004) 6, pp. 895-922
In this paper, a semiparametric, Bayesian estimator of the long-memory stochastic volatility model's fractional order of integration is presented. This new estimator relies on a highly efficient, Markov chain Monte Carlo (MCMC) sampler of the model's posterior distribution. The MCMC algorithm is...
