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04-015/4 - Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

  • Authors
    Charles S. Bos, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Neil Shephard, Nuffield College, University of Oxford
  • Publication date
    January 27, 2004
  • Keywords
    Markov chain Monte Carlo; particle filter; cubic spline; state space form; stochastic volatility
  • JEL
    C15; C32; C51; F31