Resource title

Discrete-time stochastic volatility models and MCMC-based statistical inference

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Resource description

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical applications and financial practice and can be straightforwardly extended in various directions. We illustrate empirical results based on different SV specifications using returns on stock indices and foreign exchange rates.

Resource author

Nikolaus Hautsch, Yangguoyi Ou

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25306

Resource license

Adapt according to the presented license agreement and reference the original author.