Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.csda.2010.07.008 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2027632322 / rank | |||
Normal rank | |||
Revision as of 17:31, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures |
scientific article |
Statements
Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (English)
0 references
15 September 2012
0 references
stochastic volatility
0 references
scale mixture of normal
0 references
heavy tails
0 references
leverage
0 references
outlier diagnostics
0 references
