[Bayesian Analysis of Stochastic Volatility Models]: Comment
Journal of Business and Economic StatisticsPublished 1 October 1994
Jón Danı́elsson
Citations7
SJR quartileQ1
SJR score4.17
SNIP2.29
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Abstract
This article contains comments on 'Bayesian Analysis of Stochastic Volatility Models,' by Jacquier, Polson, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.
Keywords
Social Sciences