Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law

Sylvia Frühwirth-Schnatter () and Leopold Sögner ()

Annals of the Institute of Statistical Mathematics, 2009, vol. 61, issue 1, 159-179

Keywords: Data augmentation; Identification; Marked point processes; Markov chain Monte Carlo (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10463-007-0130-8

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