Stochastic volatility in mean models with heavy-tailed distributions (Q447982): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F15 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / zbMATH DE Number: 6074105 / rank | |||
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feedback effect | |||
| Property / zbMATH Keywords: feedback effect / rank | |||
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Markov chain Monte Carlo | |||
| Property / zbMATH Keywords: Markov chain Monte Carlo / rank | |||
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non-Gaussian and nonlinear state space models | |||
| Property / zbMATH Keywords: non-Gaussian and nonlinear state space models / rank | |||
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scale mixture of normal distributions | |||
| Property / zbMATH Keywords: scale mixture of normal distributions / rank | |||
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stochastic volatility in mean | |||
| Property / zbMATH Keywords: stochastic volatility in mean / rank | |||
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Revision as of 10:33, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility in mean models with heavy-tailed distributions |
scientific article |
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Stochastic volatility in mean models with heavy-tailed distributions (English)
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30 August 2012
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feedback effect
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Markov chain Monte Carlo
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non-Gaussian and nonlinear state space models
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scale mixture of normal distributions
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stochastic volatility in mean
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