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...

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Библиографические подробности
Главные авторы:	Omori, Y, Chib, S, Shephard, N, Nakajima, J
Формат:	Journal article
Язык:	English
Опубликовано:	Elsevier 2007

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