Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility

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Note (General)：: 出版タイプ： AMhttps://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/First version: September, 2014 [14-12] http://id.nii.ac.jp/1295/00001148/...

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Summary, etc.：: This paper develops a novel and efficient algorithm for Bayesian inference in inverse Gamma Stochastic Volatility models. It is shown that by conditio...

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Material Type: 規格・テクニカルリポート類
Title: Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility
Author/Editor: LEON-GONZALEZ, Roberto
Author Heading: LEON-GONZALEZ, Roberto
Publication, Distribution, etc.: GRIPS Policy Research Center
Publication Date: 2015-10-02
Publication Date (W3CDTF): 2015-10-02
Periodical title: GRIPS Discussion Papers
No. or year of volume/issue: DP15-17
Volume: DP15-17
Text Language Code: eng
Subject Heading: Markov Chain Monte Carlo
Gibbs Sampling
Flexible Parametric Models
Particle Filters
Target Audience: 一般
Note (General): 出版タイプ： AM
https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/
First version: September, 2014 [14-12] http://id.nii.ac.jp/1295/00001148/
Revised to: March, 2018 [17-16] http://doi.org/10.24545/00001609
JEL Classification Codes: C11, C15
DOI: 10.24545/00001286
https://doi.org/10.24545/00001286
Access Restrictions: インターネット公開
Related Material: isIdenticalTo : https://ideas.repec.org/p/ngi/dpaper/15-17.html
https://ideas.repec.org/p/ngi/dpaper/15-17.html
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 政策研究大学院大学 : 政策研究大学院大学学術機関リポジトリ