Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508)
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scientific article; zbMATH DE number 6524523
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Bayesian analysis of stochastic volatility models with fat-tails and correlated errors |
scientific article; zbMATH DE number 6524523 |
Statements
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (English)
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29 December 2015
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stochastic volatility
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MCMC
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Bayes factor
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fat-tails
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leverage effect
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Gibbs
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Metropolis
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GARCH
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0.9079816937446594
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0.8690940141677856
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0.8648266792297363
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0.8628029823303223
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0.846160352230072
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