“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study
نویسندگان
چکیده
منابع مشابه
Inference Methods for Stochastic Volatility Models
In the present paper we consider estimation procedures for stationary Stochastic Volatility models, making inferences about the latent volatility of the process. We show that a sequence of generalized least squares regressions enables us to determine the estimates. Finally, we make inferences iteratively by using the Kalman Filter algorithm.
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ژورنال
عنوان ژورنال: Entropy
سال: 2021
ISSN: 1099-4300
DOI: 10.3390/e23040466