For some of my current projects, I'm probably going to need to eventually estimate some models using Metropolis-Hastings sampling. I understand the basic concepts, and the software I use (R) has ...

In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...