Block sampler and posterior mode estimation for asymmetric stochastic volatility models

Yasuhiro Omori، نويسنده , , Toshiaki Watanabe، نويسنده ,

روزنامه با شماره پیاپی سال 2008

19

2892

2910

Asymmetric stochastic volatility model , Bayesian analysis , Disturbance smoother , Markov chain Monte Carlo , Metropolis–Hastings algorithm , Simulation smoother , Kalman filter

Computational Statistics and Data Analysis

2008

Computational Statistics and Data Analysis

308403