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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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.

引用

页码：393 / 395

页数：3

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