News impact curve for stochastic volatility models

DOI10.1016/j.econlet.2013.03.001zbMath1284.91429OpenAlexW2006168029MaRDI QIDQ2440158

Toshiaki Watanabe, Makoto Takahashi, Yasuhiro Omori

Publication date: 27 March 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd12-242.pdf

zbMATH Keywords

stochastic volatilityMarkov chain Monte CarloBayesian inferencerejection samplingnews impact curve

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic models in economics (91B70)

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