Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
introduce the standard SV model. Section 3 presents several
extended SV models. MCMC based Bayesian inference is discussed in … contemporaneous return and volatility are correlated. Using simulated MLE methods
and MCMC based Bayesian inference, the two studies ….42 for daily ASD-USD FX rates between 1999 and
2004.
8
4 MCMC-Based Bayesian Inference
In this section, we will give a brief …