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Stochastic volatility with leverage: Fast and efficient likelihood inference.

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361-393] method that w...

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Published in:Journal of Econometrics Vol. 140; no. 2; pp. 425 - 450
Main Authors: Omori, Yasuhiro, Chib, Siddhartha, Shephard, Neil, Nakajima, Jouchi
Format: Article
Published: Elsevier Science October 2007
Subjects:
Probability theory
Stochastic processes
Market volatility
Online Access:View this record in EBSCOhost