A non-iterative (trivial) method for posterior inference in stochastic volatility models

Mike Tsionas

Statistics & Probability Letters, 2017, vol. 126, issue C, 83-87

Abstract: We propose a new non-iterative, very simple but accurate, Bayesian inference procedure for the stochastic volatility model. The only requirement of our approach is to solve a large, sparse linear system which we avoid by iteration.

Keywords: Stochastic volatility model; Monte Carlo methods; Markov Chain Monte Carlo; Iterative methods (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.02.035

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