Stochastic volatility in mean models with heavy-tailed distributions
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Publication:447982
DOI10.1214/11-BJPS169zbMath1319.62205MaRDI QIDQ447982
Helio S. Migon, Carlos A. Abanto-Valle, Victor Hugo 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
Markov chain Monte Carlo; scale mixture of normal distributions; feedback effect; non-Gaussian and nonlinear state space models; stochastic volatility in mean
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91B70: Stochastic models in economics
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