Markov chain Monte Carlo methods for stochastic volatility models
S Chib, F Nardari, N Shephard - Journal of Econometrics, 2002 - Elsevier
… This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) …
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… This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) …