Stochastic volatility in mean models with heavy-tailed distributions

DOI10.1214/11-BJPS169zbMATH Open1319.62205MaRDI QIDQ447982FDOQ447982

Authors: Carlos A. Abanto-Valle, Helio S. Migon, V. H. Lachos 

Publication date: 30 August 2012

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1341320250

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zbMATH Keywords

Markov chain Monte Carloscale mixture of normal distributionsfeedback effectnon-Gaussian and nonlinear state space modelsstochastic volatility in mean

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cites Work

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Cited In (13)

• Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions
• Title not available (Why is that?)
• Incorporating realized quarticity into a realized stochastic volatility model
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• A generalised stochastic volatility in mean VAR
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Objective Bayesian analysis for the Student-\(t\) linear regression
• 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
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
• Heavy tails for an alternative stochastic perpetuity model

Uses Software

• Scythe

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