Block sampler and posterior mode estimation for asymmetric stochastic volatility models (Q1023620)
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scientific article; zbMATH DE number 5564678
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Block sampler and posterior mode estimation for asymmetric stochastic volatility models |
scientific article; zbMATH DE number 5564678 |
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Block sampler and posterior mode estimation for asymmetric stochastic volatility models (English)
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12 June 2009
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asymmetric stochastic volatility model
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Bayesian analysis
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disturbance smoother
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Kalman filter
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Markov chain Monte Carlo
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Metropolis-Hastings algorithm
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simulation smoother
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0.88323855
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0.8748551
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0.85927904
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0.8588285
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0.85500705
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