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Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
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Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

G. Kastner
Sylvia Fruhwirth-Schnatter
H. Lopes
ArXiv (abs)PDFHTML

Papers citing "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models"

4 / 4 papers shown
Title
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
G. Kastner
51
162
0
28 Jun 2019
Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models
G. Kastner
Sylvia Fruhwirth-Schnatter
42
296
0
16 Jun 2017
Efficient Bayesian inference for stochastic volatility models with ensemble MCMC methods
Efficient Bayesian inference for stochastic volatility models with ensemble MCMC methods
Alexander Y. Shestopaloff
Radford M. Neal
60
6
0
09 Dec 2014
Bayesian Parameter Inference for Partially Observed Stopped Processes
Bayesian Parameter Inference for Partially Observed Stopped Processes
Ajay Jasra
N. Kantas
68
20
0
18 Jan 2012