# Bayesian Analysis of Stochastic Volatility Models

@article{Jacquier1994BayesianAO, title={Bayesian Analysis of Stochastic Volatility Models}, author={Eric Jacquier and Nicholas G. Polson and Peter E. Rossi}, journal={Journal of Business \& Economic Statistics}, year={1994}, volume={20}, pages={69 - 87} }

New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to construct a Markov-chain simulation tool. Simulations from this Markov chain coverage in distribution to draws from the posterior distribution enabling exact finite-sample inference. The exact solution to the filtering/smoothing problem of inferring about the unobserved variance states is a by… Expand

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