Non-Gaussian stochastic volatility model with jumps via Gibbs sampler

DOI10.4310/SII.2020.v13.n2.a6MaRDI QIDQ2291651

Thiago R. dos Santos, Arthur T. Rego

Publication date: 31 January 2020

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.01501

zbMATH Keywords

stochastic volatility; Gibbs sampler; financial time series; dynamic linear models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B70: Stochastic models in economics