Stochastic volatility in mean models with heavy-tailed distributions

DOI10.1214/11-BJPS169zbMath1319.62205MaRDI QIDQ447982

Helio S. Migon, Carlos A. Abanto-Valle, Victor Hugo Lachos

Publication date: 30 August 2012

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1341320250

zbMATH Keywords

Markov chain Monte Carloscale mixture of normal distributionsfeedback effectnon-Gaussian and nonlinear state space modelsstochastic volatility in mean

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Stochastic models in economics (91B70)

Related Items

Bayesian estimation of a skew-Student-\(t\) stochastic volatility model ⋮ Incorporating realized quarticity into a realized stochastic volatility model ⋮ Objective Bayesian analysis for the Student-\(t\) linear regression

Uses Software

• Scythe

Cites Work

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