MCMC interweaving strategy for estimating stochastic volatility model and its application

DOI10.1080/03610918.2020.1861463OpenAlexW3114988358MaRDI QIDQ6116260

Unnamed Author, Jian-hua Shi

Publication date: 18 July 2023

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2020.1861463

zbMATH Keywords

Kalman filteringMCMC algorithmstochastic volatility modelinterweaving strategy

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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