Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility

DOI10.1080/07474938.2018.1485614zbMath1490.62322OpenAlexW3125681450MaRDI QIDQ5860935

Roberto Leon-Gonzalez

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp19_14.pdf

zbMATH Keywords

Markov chain Monte CarloGibbs samplingparticle filtersflexible parametric models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Uses Software

• H2PEC

Cites Work

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