Bayesian Analysis of Stochastic Volatility Models: Comment

Jon Danielsson

Journal of Business & Economic Statistics, 1994, vol. 12, issue 4, 393-95

Abstract: This article contains comments on 'Bayesian Analysis of Stochastic Volatility Models,' by Jacquier, Polson, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:12:y:1994:i:4:p:393-95

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