BUGS for a Bayesian analysis of stochastic volatility models
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Publication:2707871
DOI10.1111/1368-423X.00046zbMath0970.91060OpenAlexW3123714266WikidataQ123417550 ScholiaQ123417550MaRDI QIDQ2707871
Publication date: 4 April 2001
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00046
stochastic volatilityheavy-tailed distributionsGibbs samplerBUGSleverage effectnon-Gaussian nonlinear time series models
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