Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; Nakajima, Jouchi Stochastic volatility with leverage: fast and efficient likelihood inference. (English) Zbl 1247.91207 J. Econom. 140, No. 2, 425-449 (2007). MSC: 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Analysis of high dimensional multivariate stochastic volatility models. (English) Zbl 1418.62377 J. Econom. 134, No. 2, 341-371 (2006). MSC: 62P05 62F15 91B84 62M10 62M20 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Markov chain Monte Carlo methods for stochastic volatility models. (English) Zbl 1099.62539 J. Econom. 108, No. 2, 281-316 (2002). MSC: 62P05 65C40 × Cite Format Result Cite Review PDF Full Text: DOI