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Bos et al., 2006 - Google Patents

Inference for adaptive time series models: Stochastic volatility and conditionally Gaussian state space form

Bos et al., 2006

Document ID
14492921749025618052
Author
Bos C
Shephard N
Publication year
Publication venue
Econometric Reviews

External Links

Snippet

In this paper we model the Gaussian errors in the standard Gaussian linear state space model as stochastic volatility processes. We show that conventional MCMC algorithms for this class of models are ineffective, but that the problem can be alleviated by …
Continue reading at www.tandfonline.com (other versions)

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