Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

Gregor Kastner, Sylvia Frühwirth-Schnatter. Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. Computational Statistics & Data Analysis, 76:408-423, 2014. [doi]

Authors

Gregor Kastner

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Sylvia Frühwirth-Schnatter

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