Bayesian Analysis of Stochastic Volatility Models: Comment
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.
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Volume (Year): 12 (1994)
Issue (Month): 4 (October)
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