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Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models
Approximate EM Adaptive sampling Delayed rejection Gaussian copula marginallikelihood Markov chain Monte Carlo
2010/3/10
An Markov chain Monte Carlo simulation method based on a two stage delayed
rejection Metropolis-Hastings algorithm is proposed to estimate a factor
multivariate stochastic volatility model. The firs...