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RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replication file for Jacquier, Polson and Rossi(1994), "Bayesian Analysis of Stochastic Volatility Models," Journal of Business and Economic Statistics, vol 12, no 4, pp. 371-89. Includes both a Metropolis MCMC and a rejection method similar to that in Kim, Shephard and Chib(1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, vol 65, pp 361-93.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00105
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/jprjbes1994.zip
    Download Restriction: no
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    More about this item

    Keywords

    Stochastic volatility model; RATS;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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