Book of Donmon Teith

The phenomenon of changing variance and covariance is often encountered in financial time series. As a result, during the last years researchers focused on the

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling

Time varying volatility is a characteristic of many financial series. An alternative to the popular ARCH framework is a Stochastic Volatility model which is har