Bayesian Inference for Long Memory Stochastic Volatility Models
We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a linea...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-11-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/12/4/35 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|