Stochastic volatility in mean models with heavy-tailed distributions (Q447982): Difference between revisions

@@ Property / author @@
-Victor Hugo Lachos
@@ Property / author: Victor Hugo Lachos / rank @@
-Normal rank
@@ Property / author @@
+Victor Hugo Lachos
@@ Property / author: Victor Hugo Lachos / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F15
@@ Property / Mathematics Subject Classification ID: 62F15 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6074105
@@ Property / zbMATH DE Number: 6074105 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+feedback effect
@@ Property / zbMATH Keywords: feedback effect / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Markov chain Monte Carlo
@@ Property / zbMATH Keywords: Markov chain Monte Carlo / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-Gaussian and nonlinear state space models
+Normal rank
@@ Property / zbMATH Keywords @@
+scale mixture of normal distributions
@@ Property / zbMATH Keywords: scale mixture of normal distributions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic volatility in mean
@@ Property / zbMATH Keywords: stochastic volatility in mean / rank @@
+Normal rank
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+Scythe
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@@ Property / cites work @@
+Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
+Normal rank
@@ Property / cites work @@
+Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
+Normal rank
@@ Property / cites work @@
+Q4768455
@@ Property / cites work: Q4768455 / rank @@
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
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+SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
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+The simulation smoother for time series models
@@ Property / cites work: The simulation smoother for time series models / rank @@
+Normal rank
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+Objective Bayesian analysis for the Student-t regression model
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@@ Property / cites work @@
+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
+Normal rank
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+Disturbance smoother for state space models
@@ Property / cites work: Disturbance smoother for state space models / rank @@
+Normal rank
@@ Property / cites work @@
+Q3405569
@@ Property / cites work: Q3405569 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
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+Q3374319
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+Normal rank
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Filtering via Simulation: Auxiliary Particle Filters
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+Objective Bayesian analysis for exponential power regression models
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+Likelihood analysis of non-Gaussian measurement time series
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+Bayesian Measures of Model Complexity and Fit
@@ Property / cites work: Bayesian Measures of Model Complexity and Fit / rank @@
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+Markov chains for exploring posterior distributions. (With discussion)
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+The multivariate skew-slash distribution
@@ Property / cites work: The multivariate skew-slash distribution / rank @@
+Normal rank
@@ Property / cites work @@
+A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard &amp; Pitt (1997)
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:447982