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Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

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Figure 1: Simulation of the Markov switching stochastic volatility model M 1 (α 1 = −2.5,
Figure 2: Simulation of the Markov switching stochastic volatility model M 2 (α 1 = −2.5,
Figure 4: Causality structure of a Markovian dynamic model with hidden states. A box around the variable indicates the variable is known, while a circle indicates a hidden variable.
Table 1: Gaussian model M 1 . APF parameter estimates for an increasing number, M , of
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