Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

DOI10.1016/j.csda.2009.06.011zbMath1284.91579OpenAlexW2136186200WikidataQ34072988 ScholiaQ34072988MaRDI QIDQ2445744

I. Enriquez, Dipankar Bandyopadhyay, Victor Hugo Lachos, Carlos A. Abanto-Valle

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2923593

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Stochastic models in economics (91B70)

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Uses Software

• Scythe

Cites Work

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