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Inference for stochastic volatility model using time change transformations

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Figure

Figure 1: Plots of a sample path for X,σ√ U and Z against their corresponding times for =2 and m = 7
Figure 2: Updates of time scale parameters: For every proposed value of them, new pointsare required and should obtained conditional on the stored points.
Figure 3: Autocorrelation plots for the posterior draws of ρ and σ for different numbers ofimputed points m = 30, 50
Figure 4: Kernel densities of the posterior draws of all the parameters for different numbersof imputed points m = 30, 50
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