Bayesian student-t stochastic volatility models via scale mixtures

DOI10.1016/S0731-9053(08)23019-7zbMATH Open1189.91157OpenAlexW2266103552MaRDI QIDQ3573008FDOQ3573008

Authors: S. T. Boris Choy, Wai-Yin Wan, C. M. Chan 

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

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (8)

• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• On asymmetric generalised t stochastic volatility models
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• The Student's \(t\)
• Modelling stochastic volatility using generalized \(t\) distribution
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures

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