Integrated nested Laplace approximations for threshold stochastic volatility models Articles

authors

published in

Econometrics and Statistics Journal

publication date

April 2024

start page

15

end page

35

volume

30

Digital Object Identifier (DOI)

https://doi.org/10.1016/j.ecosta.2021.08.006

International Standard Serial Number (ISSN)

2452-3062

subjects

Statistics

keywords

inla; pc priors; threshold stochastic volatility model