Stochastic volatility with leverage: fast and efficient likelihood inference

Stochastic volatility with leverage: fast and efficient likelihood inference

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This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method that w...

书目详细资料
Main Authors:	Omori, Y, Chib, S, Shephard, N, Nakajima, J
格式:	Journal article
语言:	English
出版:	Elsevier 2007
主题:	Economics

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