Stochastic volatility with leverage: fast likelihood inference.
Kim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been exte...
| Автори: | , , , |
|---|---|
| Формат: | Working paper |
| Мова: | English |
| Опубліковано: |
Nuffield College (University of Oxford)
2004
|