Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19
Author:
Affiliation:
1. Sasin School of Management, Chulalongkorn University, Bangkok, Thailand
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02664763.2022.2064440
Reference23 articles.
1. Bayesian Theory
2. The Econometrics of Financial Markets
3. On Gibbs sampling for state space models
4. Markov chain Monte Carlo in conditionally Gaussian state space models
5. GMM estimation of a realized stochastic volatility model: A Monte Carlo study
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