Stochastic volatility in mean models with heavy-tailed distributions
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Cites work
- scientific article; zbMATH DE number 5668407 (Why is no real title available?)
- scientific article; zbMATH DE number 3442988 (Why is no real title available?)
- A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
- Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
- Bayesian Measures of Model Complexity and Fit
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Disturbance smoother for state space models
- Filtering via Simulation: Auxiliary Particle Filters
- Likelihood analysis of non-Gaussian measurement time series
- Markov chain Monte Carlo methods for stochastic volatility models.
- Markov chains for exploring posterior distributions. (With discussion)
- Objective Bayesian analysis for exponential power regression models
- Objective Bayesian analysis for the Student-t regression model
- Pricing foreign currency options with stochastic volatility
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Robust Estimation of the Mean and Covariance Matrix from Data with Missing Values
- SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
- The multivariate skew-slash distribution
- The simulation smoother for time series models
Cited in
(14)- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- scientific article; zbMATH DE number 2143288 (Why is no real title available?)
- A generalised stochastic volatility in mean VAR
- Objective Bayesian analysis for the Student-\(t\) linear regression
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions
- Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market
- Heavy tails for an alternative stochastic perpetuity model
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- Incorporating realized quarticity into a realized stochastic volatility model
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
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