| ID | 281139 |
| Title Proper | Modeling stochastic volatility with application to stock returns |
| Language | ENG |
| Author | Krichene, Noureddine |
| `In' analytical Note | In Schinasi, Garry J.: Responsibility of central banks for stability in financial markets. Washington. International Monetary Fund, 2003. --(IMF WP/03/121) |
| Journal Source | In Schinasi, Garry J.: Responsibility of central banks for stability in financial markets. Washington. International Monetary Fund, 2003. --(IMF WP/03/121) |
| Classification Number | IMF |
| Key Words | Stochastic volatility ; Kalman filter ; Data augmentation ; Markov chain ; Monte Carlo ; Diagnostics ; Intergration sampler ; Particle filtering |