Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-space Model with Correlated Errors
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- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CARF F-Series CARF-F-104, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yasuhiro Omori & Toshiaki Watanabe, 2003. "Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CIRJE F-Series CIRJE-F-221, CIRJE, Faculty of Economics, University of Tokyo.
References listed on IDEAS
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- Omori, Yasuhiro & Watanabe, Toshiaki, 2008.
"Block sampler and posterior mode estimation for asymmetric stochastic volatility models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(6), pages 2892-2910, February.
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-08-08 (All new papers)
- NEP-ECM-2007-08-08 (Econometrics)
- NEP-ETS-2007-08-08 (Econometric Time Series)
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