Bayesian student-t stochastic volatility models via scale mixtures
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Publication:3573008
DOI10.1016/S0731-9053(08)23019-7zbMath1189.91157OpenAlexW2266103552MaRDI QIDQ3573008
S. T. Boris Choy, Chun Man Chan, Wai-Yin Wan
Publication date: 30 June 2010
Published in: Bayesian Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)23019-7
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)
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