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• W2079672223 abstract "In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating offset mixture model, followed by an importance reweighting procedure. This approach is compared with several alternative methods using real data. The paper also develops simulation-based methods for filtering, likelihood evaluation and model failure diagnostics. The issue of model choice using non-nested likelihood ratios and Bayes factors is also investigated. These methods are used to compare the fit of stochastic volatility and GARCH models. All the procedures are illustrated in detail." @default.
• W2079672223 created "2016-06-24" @default.
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• W2079672223 date "1998-07-01" @default.
• W2079672223 modified "2023-10-10" @default.
• W2079672223 title "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models" @default.
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• W2079672223 doi "https://doi.org/10.1111/1467-937x.00050" @default.
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