BAYESIAN-ANALYSIS OF STOCHASTIC VOLATILITY MODELS - COMMENT

被引：0
|
作者：
DANIELSSON, J
机构：
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1994年 / 12卷 / 04期
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D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：393 / 395
页数：3
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