Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702)
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scientific article; zbMATH DE number 6083022
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| English | Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures |
scientific article; zbMATH DE number 6083022 |
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Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (English)
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15 September 2012
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stochastic volatility
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scale mixture of normal
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heavy tails
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leverage
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outlier diagnostics
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0.8747384548187256
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0.8627644181251526
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0.8615740537643433
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0.8478248119354248
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0.8303009271621704
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