Bayesian Analysis of Stochastic Volatility Models

By A. Graja. 2009

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Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound (2010, methodology): “Following Cogley and Sargent (2002), we then sample the hi,t’s by applying the univariate algorithm of Jacquier, Polson, and Rossi (1994) element by element.19 (d) Drawing the elements of Qt Conditional on θ T , the innovations ηt=θt-θt−1, with Var(ηt)=Qt, are observable, and, along the lines of…”