Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility

• 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: 2018-03-15
• Publication Date (W3CDTF): 2018-03-15
• Periodical title: GRIPS Discussion Papers
• No. or year of volume/issue: DP17-16
• Volume: DP17-16
• 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://doi.org/10.24545/00001148 | http://doi.org/10.24545/00001148; Second version: October, 2015 [15-17] http://doi.org/10.24545/00001286 | http://doi.org/10.24545/00001286; JEL Classification Codes: C11, C15; The author thanks the Japan Society for the Promotion of Science for financial support under the Young-Scientist (B) Grant (#23730214 and #26780135).
• DOI: 10.24545/00001609; https://doi.org/10.24545/00001609
• Access Restrictions: インターネット公開
• Related Material: isIdenticalTo : https://ideas.repec.org/p/ngi/dpaper/17-16.html; https://ideas.repec.org/p/ngi/dpaper/17-16.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

• 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...