Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

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Publication:2687889

DOI10.1515/snde-2014-0043zbMath1506.91003OpenAlexW3123215024MaRDI QIDQ2687889

Nima Nonejad

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0043




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