04-015/4 - Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

• Authors
  Charles S. Bos, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Neil Shephard, Nuffield College, University of Oxford
• Publication date
  January 27, 2004

• Keywords
  Markov chain Monte Carlo; particle filter; cubic spline; state space form; stochastic volatility
• JEL
  C15; C32; C51; F31