RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Jacquier, Polson and Rossi(1994), "Bayesian Analysis of Stochastic Volatility Models," Journal of Business and Economic Statistics, vol 12, no 4, pp. 371-89. Includes both a Metropolis MCMC and a rejection method similar to that in Kim, Shephard and Chib(1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, vol 65, pp 361-93.

Language: RATS
Requires: RATS 7.30
Keywords: Stochastic; volatility; model (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/jprjbes1994.zip (application/zip)

Related works:
Journal Article: Bayesian Analysis of Stochastic Volatility Models (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00105

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